If you have more than 3 columns to sort then you'll have to perform more than one sort and in a particular order, but still using the Data, Sort menu command.
For example if you have five columns to sort you would map out your sort options by column, let's call them 1, 2, 3, 4 and 5. You would first select the entire range, choose, Data, Sort and sort on the 4th and 5th columns. Then you would choose the entire range again and sort on columns 1, 2 and 3. This would accomplish the sort on multiple columns beyond the defaults of the program.
Hope this helps.