Order "Pending"
From the Admin panel, the sales order appears in the Order list as "Pending". At this point, payment has not been processed, and the order can still be canceled.
Payment Received
The status of the order remains "Pending" until payment is received. Depending on the payment method, you, may be notified when the transaction is authorized and in some cases, processed. The status of the order is now "Processing" and order can not be cancel and you will need to issue a credit using Credit Memos see http://www.magentocommerce.com/knowledge-base/entry/order-process-overview
Best Answer
You can Change status this way..