In Magento Commerce we can't change order status from the admin panel by default.
In older versions the solution was to change  Magento\app\code\core\Mage\Sales\etc\config.xml file but in magento1.6. don't work.
But we found the solution replacing a line in admin template.

  1. Open file app\design\adminhtml\default\default\template\sales\order\view\history.phtml and locate this code (line 34)
    foreach ($this->getStatuses() as $_code=>$_label):
  2. Change this line by this
    foreach (Mage::getSingleton('sales/order_config')->getStatuses() as $_code=>$_label):

With this simple code you can change the order status editing the order