ordenar por várias colunas

Por que você pode fazer assim:

order by ImpFile DESC, ImpTime desc

Não, não resulta no que você está mostrando. Resulta nisso:

        Import12    2012-05-16 09:55:37.387
Bart    Import12    2012-05-16 09:55:37.387
Sasha   Import12    2012-05-16 09:55:37.387
John    Import12    2012-05-16 09:55:37.383
        Imp01       2012-05-16 09:54:02.477
Ann     Imp01       2012-05-16 09:54:02.477
Mark    Imp01       2012-05-16 09:54:02.477
Sam     Imp01       2012-05-16 09:54:02.477

Veja aqui Por exemplo

EDITAR

Eu tenho uma sugestão para você. Talvez algo assim:

Dados de teste

DECLARE @T TABLE(Name VARCHAR(100),ImpFile VARCHAR(100),ImpTime DATETIME)

INSERT INTO @T
    ([Name], [ImpFile], [ImpTime])
VALUES
    ('Sam', 'Imp01', '2012-05-16 09:54:02.477'),
    ('Ann', 'Imp01', '2012-05-16 09:54:02.478'),
    ('Mark', 'Imp01', '2012-05-16 09:54:02.477'),
    ('John', 'Import12', '2012-05-16 09:55:37.384'),
    ('Bart', 'Import12', '2012-05-16 09:55:37.387'),
    ('Sasha', 'Import12', '2012-05-16 09:55:37.385');

Consulta

;WITH CTE
AS
(   
    SELECT
        ROW_Number() OVER(PARTITION BY  t.[ImpFile] 
                     ORDER BY t.[ImpTime] DESC) AS RowNbr,
        '' AS Name,
        t.ImpFile,
        t.[ImpTime]
    FROM
        @T AS t
)
SELECT
    CTE.Name,
    CTE.ImpFile,
    CTE.[ImpTime],
    0 as SortOrder
FROM
    CTE
WHERE
    CTE.RowNbr=1
UNION ALL
SELECT
    t.Name,
    t.ImpFile,
    t.[ImpTime],
    1 as SortOrder
FROM
    @T AS t
ORDER BY
    ImpFile DESC,SortOrder, ImpTime desc