To set-up a multi-level sort you select the first column as the primary column for sorting, the type of sort, and the method of sorting (ascending or descending). Once you enter this information, you can select a second column which will be a second column to sort by. You can repeat this for as many columns as you have in the query results.
For example, select NAME as the primary sort, to be sorted in ascending order, then select DEPT for the secondary sort, and specify to sort the data in ascending or descending order within the primary (NAME) sort.