I must admit that I have missed something:
The correct command will be

SELECT NOCLIENT AS O_NOCLIENT ,NOCAT AS O_NOCAT,NUMERO,NOMEMBER,NOPARENT AS O_NOPARENT,NOTHREAD AS O_NOTHREAD,ADDDATE,ADDHEURE,TITLE,.T. AS FLAG,1 AS ORDERF ;
 FROM THREAD WHERE NoClient=5 AND NUMERO>=600000;
UNION SELECT NOCLIENT AS O_NOCLIENT ,NOCAT AS O_NOCAT,NUMERO,NOMEMBER,NOPARENT AS O_NOPARENT,NOTHREAD AS O_NOTHREAD,ADDDATE,ADDHEURE,TITLE,.T. AS FLAG,0 AS ORDERF;
 FROM THREAD WHERE NoClient<>5 AND NUMERO>=600000;
 ORDER BY ORDERF DESCENDING,O_NOCLIENT,O_NOCAT,O_NOTHREAD,O_NOPARENT INTO CURSOR TEMP READWRITE

So If you wish to use order by with names you should have additional AS clauses with names different from your field names.

I have tested it with only one order by clause and this was why I did not post you the correct query the first time