Unfortunately you cannot sort columns. The reason why is that some of our customers have tens of thousands of contacts and accounts in their database or more. When that is the case, it is very difficult for the system to sort all that data in a very quick time.
I assume that you want to sort see a certain set of data. You probably can use the Advanced Search feature here https://salesscripter.com/pro/crm/search to get to the set of data that you are wanting to get to.