When inside the sidebar in any product select and click on add to order button. The product don't add in ordered list. What can i do? Please see this image.
It is not a button, it's an image just indicate that the selected items will be moved to the order on "updating changes".
Select the Product's from last ordered items or wishlist items and click "Update Changes" button.
In order to add the same functionality to that image, you need to create your own adminhtml theme and make changes to the file: app/design/adminhtml/yourpackage/yourtheme/template/sales/order/create/sidebar/items.phtml
<th class="a-center"><img src="<?php echo $this->getSkinUrl('images/fam_package_go.gif') ?>" alt="<?php echo Mage::helper('sales')->__('Add To Order') ?>" title="<?php echo Mage::helper('sales')->__('Add To Order') ?>" width="16" height="16" onclick="order.sidebarApplyChanges()"/></th>