Sorting by clicking on column headers
How a report is sorted is defined in the Report Criteria. Depending on what data the report looks at, you can sort of different criteria. It's usually called something like "Order by columns" and appears below the Selected Columns. Reports generally sort in date order.

If you want to play about with the data, the easiest thing to do is export to CSV and save in Excel so you can sort, filter and build graphical representation of your data as you wish.