I've done it in Outlook Express, when I still used that, and I do it regulary both in Thunderbird and in MS Outlook.In all of those email clients I can sort on all columns (like subject, sender, receiver, date, is-there-an-attachment etc).
What I'm missing in your post are the names of the 4 different email-programs you use.
I use 4 different emails and gmail is the only one I can't put any column in alphabetical order. Am I missing something? Would be really handy to have all of one sender together for many reasons.