Hi Muhammad Saqib,
Thank you for using our services.
You are not doing anything wrong. Unfortunately the Forums module does not have sorting of forum items in the back-end enabled. This means that there were no sorting methods implemented to handle sorting of the grid which displays the list of forums. Implementing this on your own would mean that you will have to develop your own forums module that inherits from Sitefinity Forums and then implement the sorting handlers in the back-end views for forums list. We are working on improving things like this in our next major version - Sitefinity 4.0 (expected early 2010)
Please accept our apologies for the invonvenience, if you need some guidance on how to achieve the above we will happily provide you with such.
the Telerik team