When you have an Interactive Report, by using the function of clicking on the column headings, this allows the end users to sort by one (1) column.
For an end-user to sort by more than one column, they need to have access to the 'Actions' menu.
Go to Actions > Format > Sort.
This gives the users the ability to sort upto 6 columns.
Is this what you were looking for?
In an IR (tested on Apex 4.2.2) the report remembers all the sort columns you have selected, but only highlights the first sort column with the little arrow. When you do the quick sort from the column header, the report applies the sort using the last column selected as the first in the sort order. So if you select column a, then b then c to sort by, the sort is order by c,b,a and column c is left highlighted. If you sort using the actions/format/sort menu, then the order the sort is applied is top to bottom in the sort dialogue. You can see the quick sort selections as they are applied in the actions/format/sort menu dialogue.