Can anyone tell me what the function of the grey bar at the side of a
worksheet is? i.e. it's name, function, how it is inserted, how can I edit.

The grey bar appears to the left of the numbers in grey boxes at the left
side of the worksheet. There are four small boxes at the top of this bar,
containing the numbers 1-4. It looks like another column, but is grey like
the number/alpha row and column. There is a dot, like a bullet point next to
each number cell.

This grey column/bar is appearing on reports I receive, but seems to change
the worksheet so that I cannot sort the data by highlighting columns,
clicking "data", "sort".

I cannot left or right click in this area.

Any clues would be really appreciated, thank you for your help.