To sort by additional columns, simply hold the SHIFT key then click on the new column header that you would like to add to the sort. This will effectively sort the data in the grid by the first columns added then by the second column. The priority of the sort is based on the order in which the columns are added to the sort.
Supported Functions
If you click any column header it will single sort by that column. This will clear any current multi-sorting.
If you hold shift and click any column that isn't currently sorted, it will add that column to the sort.
If you hold shift and click any column that is currently sorted it will change the direction of the sorting.
If you hold shift and click on any column that IS currently sorted a third time it will remove that column from the sorting.
You can save / load multi-sorting in filters.
If you try to adjust the sorting direction of the first column added after adding additional columns, the sorting of any other columns will be removed.