The "Sort Cases" dialog box has a left-hand select list containing all the variables in the 
dataset, and a right-and field labelled "Sort By" (alt+S) wherein you enter the variables you want
to sort the dataset by.

To sort in ascending order, hit Alt+A (this is the default selection).
To sort in descending order, hit Alt+D.

Select a variable from the left-hand list, then hit Tab and Enter. This will enter the selected
variable into the "Sort By" box.  To save and leave the
dialog box, hit Tab until the OK button is selected, then hit Enter.