In this example I am sorting by Year And Month. just by including month number in GROUP BY am now able to sort by year and month number. I don't have to select month number.

SELECT [Year] = DATENAME(yyyy,SomeDateTime),

[Month] = DATENAME(mm,SomeDateTime),

Amount = SUM(SomeAmount)

FROM #MyHead

WHERE SomeDateTime >= '2009-06-01' AND SomeDateTime < '2011'

GROUP BY DATENAME(yyyy,SomeDateTime),DATEPART(m,SomeDateTime),DATENAME(mm,SomeDateTime)

ORDER BY 1,DATEPART(m,SomeDateTime)

;