Multicolumn Sort on Grid?

Is there a way for the user to sort on multiple columns in the TAdvStringGrid?? I tried sorting on one column which worked but holding the shft key or ctrl key and clicking on another column doesn't work.. That would be the normal way to do it. Is there some magical way?

Did you look at this example:

Yes I did, but I don't see where the user can arbitrarily decide on the multiple columns that they want to sort on.
Am I missing something?

Sorting is explained in the dev guide
from page 9

To enable multi column sort, set:
advstringgrid1.SortSettings.Show := true;
advstringgrid1.SortSettings.IndexShow := true;

Click & shift-click on column header cells to set the columns for which to sort.