On product list page want option in sort by dropdown discounted first products so all prodcuts in list with special price comes first.
How I can do that?
To be able to filter on an attribute in the product list you can edit the value Used for Sorting in Product Listing
for that attribute.
Go to Backend > Catalog > Attributes > Manage Attributes
filter on Attribute code
Special price and click it.
Then scroll down until you see the option Used for Sorting in Product Listing
and set that to yes. Refresh your cache and indexes afterwards.