There's no need to join the group row to itself, so this is another possibility:


SELECT c.*
FROM #companies c
LEFT OUTER JOIN #companies g
  ON c.CompanyStatus <> 'group'
   AND c.GroupNumber = g.GroupNumber
   AND g.CompanyStatus = 'group'
ORDER BY ISNULL(g.CompanyName, c.CompanyName), c.CompanyName