I don't have enough information to give you a totally complete answer, but I
will get started, and you can fill me in where there are gaps.

First, you say you want to sort by month and year.  In reality, you should
sort by year and month. This will sort your data so that all the months for a
year will be together.  If you sort by month and year, you would get all the
Januarys followed by all the Februarys, etc.

So, make the field in your table a text field 6 characters long.  Then to
format the date correctly, use this:

=Format(TheDate,"yyyymm")

This assumes TheDate is a date/time data type and that you want a 4 digit
year and 2 digit month.  That is the way it should be.  Now, as to where to
put this, it depends on what you are doing. If you are typing it directly
into the table, there is no need for the format, just type it in like 200510
(October, 2005).  If you are using a form to input data, for this type of
operation it gets a little tricky, because you want your data to go into a
field in the table in a different format than it is on the form.  So here is
what you need to do.
Make the textbox you enter the date in an unbound control. (for example we
will call it txt.InputDate)
Create another textbox and bind it to the date field. (We will call it
txtFormatDate)
Set the following properties for txtFormatDate to these values:
Visible - No
Enabled - Yes
Locked - Yes
Tab Stop - No

You will not see this control and you will not be able to tab to it.  That
is what you want.  Then, to get the formatted value form txtInputDate to
txtFormatDate, Put the following code in the After Update event of
txtInputDate:

If Not IsNull(Me.txtInputDate) Then
   Me.txtFormatDate = Format(Me.txtInputDate,"yyyymm")
End If

That should do it.  If you have questions, post back and we'll see if we can
get it working.