The xlsweetspot guys says:

One way to get around this is to:
1) Inset a new column.
2) In the first cell of the new column, concatenate cells from
those columns that will be the focus of the sort. The concatenation
must be in the same order as the intended sort. (This formula "=
d3&k3&b3&l3&c3" will concatenate cells d3, k3, b3, i3 and c3, in that
order)
3) Copy the formula to the other cells.
4) Include the new concatenated column in the sort range. The
first sort criteria must be the new concatenated column.
5) Sort.

Good luck,
xlsweetspot