The Sort fields are chosen the same way that the Group fields are chosen. Go to the Sort&Group tab and click on the appropriate folder in the Sort box. Choose the fields by which you want to sort and click Save. Once you have chosen and saved the sorting fields, they will appear in the Sort box, in order.
You can change the order by dragging and dropping or remove them by clicking the trashcan icon.
The arrows indicate whether the field is being sorted in ascending order (up arrow) or descending order (down arrow). Initially all sorts are in ascending order. Click the arrow icon to reverse the order.