Quieres:
Tendrás que hacer algo de magia en la cláusula group by para que esto suceda.
SELECT id, sender, receiver, MAX(time_sent), MAX(message)
FROM Messages
WHERE sender='$userid' OR receiver = '$userid'
Group By (if(sender > receiver, sender, receiver))
, (if(sender > receiver, receiver, sender))
Order BY time_sent DESC
