Mujas,you can do this by magento event observer.
Fire
an observer
on event checkout_submit_all_after
and change order status your New Order status.
event Config.xml code look like
<global>
<events>
<checkout_submit_all_after>
<observers>
<change_order_status>
<class>yourmodule/observer</class>
<method>CodeOrdeStatus</method>
</change_order_status>
</observers>
</checkout_submit_all_after>
</events>
</global>
Observer code look like:
public function CodeOrdeStatus($observer)
{
$order = $observer->getEvent()->getOrder();
$order = Mage::getModel('sales/order')->load($order->getId());
// check order is code or not
if($order->getPayment()->getMethodInstance()->getCode() == "cashondelivery") {
$order->setStatus("complete");
$order->save();
}
}