Zencart has four default order status types which are Pending(1), Processing(2), Delivered(3), and Update(4). The number in parenthesis represents the order in which the order type will be located in the drop down so by default the first type in the drop down is Pending.
To add a new order status type login to the Zencart admin, click on Localization in the top navigation, and then click Order Status. This will display the order status type admin page where you can add, modify, or delete order status types. If all you need to do is add a order status type that will be located in 5th or higher place then click the Insert button at the bottom and add the new order status type. The very next one you add will be 5th, then 6th, and so on. So if you added Out of Stock via the Insert button you would now have the following order status types: Pending(1), Processing(2), Delivered(3), Update(4), and Out of Stock(5).