to do such thing you need SQL statement like this.
SELECT status FROM table_name
ORDER BY CASE name
WHEN 'New data' THEN 1
WHEN 'open data' THEN 2
WHEN 'pending data' THEN 3
END;
in Yii model:
$criteria = new CdbCriteria();
$criteria->order ="CASE Column_name
WHEN 'New data' THEN 1
WHEN 'open data' THEN 2
WHEN 'pending data' THEN 3
END";
return new CActiveDataProvider ($this, array(
'criteria'=>$criteria, //ordered criteria sent to CGridView
));
PS. tested under mysql - it works :)