As I understand in Magento it sets the status of a new order to processing and then goes away and sorts out the payment etc.
The problem is that if the payment gateway for worldpay fails/crashes etc it then means I have an order that is set to processing even though no payment has been made.
Unfortunately the software we have interprets processing as ordered and to send it.
Therefore to fix I need to somehow set the initial order status to Pending, which I believe will fix it. So my question is how do I set the initial status of all orders to Pending? I found this page but it doesn't seem to work: problem in magento default order status changes
It depends on your extension. The extension should be able to set status "processing" for processed payments, and "payment_pending" if payment is not confirmed. The best practice is to solve this issue by improving / modifying extension code.
If that is not possible, you can try to do little hack by going to Magento admin -> System -> Configuration -> Sales -> Payment methods, find your payment method and check if there is an option to set order status where it should be after payment is made. There you can probably set "pending" status. But, as I said earlier, it's "hack" and that's not how this kind of issue should be solved.
I've actually found another way round it. In the software we use I have an option to change how the order is checked before it comes through. I'm currently testing it but it looks like it is now going to work. Thanks for your help though.