[php:1:9021c52913]
$query=mysql_query("SELECT DISTINCT name_room.name_room as name_room, phones_directory.*
FROM phones_directory, name_room
WHERE phones_directory.id_build = name_room.id GROUP BY `name_room` ORDER BY `id_build` ASC");

while($rows=mysql_fetch_array($query)) {
echo '<tr><td colspan="5" class="name_room"><strong>'.$rows['name_room'].'</strong></td></tr>';

echo '<td>'.$rows['post'].'</td>
<td>'.$rows['fio'].'</td>
<td>'.$rows['number_build'].'</td>
<td>'.$rows['phones_city'].'</td>
<td>'.$rows['phones_location'].'</td>
</tr>';
[/php:1:9021c52913]

Попробуй так.

[php:1:44fd2fe1fd]$query=mysql_query("SELECT * FROM `phones_directory`");

while ($rows = mysql_fetch_assoc($query))
{
$query=mysql_query("SELECT * FROM `phones_directory` WHERE `id_build` = ".$rows['name_room']);

while($rows=mysql_fetch_array($query)) {
echo '<tr><td colspan="5" class="name_room"><strong>'.$rows['name_room'].'</strong></td></tr>';
}

echo '<td>'.$rows['post'].'</td>
<td>'.$rows['fio'].'</td>
<td>'.$rows['number_build'].'</td>
<td>'.$rows['phones_city'].'</td>
<td>'.$rows['phones_location'].'</td>
</tr>';
}[/php:1:44fd2fe1fd]
давно на php не практиковался возможно это и не верный код

[php:1:5a6d880c4b]$query=mysql_query("SELECT *, phones_directory.id
FROM phones_directory, name_room
WHERE phones_directory.id_build = name_room.id ORDER BY `id_build` ASC");
$dir = 0;
while($rows=mysql_fetch_array($query)) {
if($rows['id'] != $dir){
echo '<tr><td colspan="5" class="name_room"><strong>'.$rows['name_room'].'</strong></td></tr>';
$dir = $rows['id'];
}

echo '<td>'.$rows['post'].'</td>
<td>'.$rows['fio'].'</td>
<td>'.$rows['number_build'].'</td>
<td>'.$rows['phones_city'].'</td>
<td>'.$rows['phones_location'].'</td>
</tr>'; [/php:1:5a6d880c4b]

в запрос еще добавь сортировку по phones_directory.id

SL_NeKrOmAnT, да я заметил ктрл+ц создал дьявол