It seems that I haven't really explained myself properly as this isn't what I'm looking for. I don't want the user to sort things in the grid by dragging the rows (although that may come in handy elsewhere). I want the user to be able to sort the entire contents of the grid by specifying which columns to sort on.

That is exactily what the sample I sent you does.

I was envisaging this as letting the user to (to get the Company + Department + Surname order) click on the Company column header, which will then sort the grid by Company, then they can Ctrl+Click on the Department header which will set the order of the grid's recordsource to Company + Department and then they can Ctril+Click on the Surname column header and the full sort order will get set to Company + Department + Surname.
Frank.

Well, in that case, you will need to roll your own. My sample allows you to set the sort order by setting it up in a "sort order" grid and then clicking on a "sort now" button to implement it.