To sort the list by a specific column just click the header of the column. The up/down arrows by the header will indicate that the list is currently sorted by that column and in what direction.
After sorting on one column hold down the Shift key on your keyboard while clicking another column header to sort by that column combined with first sorting on the first one. For example the Person lists through out RM are by default sorted on Last name and then First name. If you decide to sort by another column and would like to return to that sort, first click the Last name column header and then Shift+click the First name column header.
Certain columns might not be possible to sort by, this is due to performance reasons and the nature of that specific data. If a column is not sortable there will be no arrows to the right of the column header.