If you just want to sort on a single column
select a cell in that column, then Ctrl+A (need a macro if Excel 2003),
then use the sort button (ascending or descending)
but you can never be completely sure if Excel will assume headers or not.
More specific to your question:
Record a macro and insert it into Right Click Event envelope
Private Sub Worksheet_BeforeRightClick(ByVal Target _
As Excel.Range, Cancel As Boolean)
Cancel = True 'to get out of edit mode
Dim LRow As Long '-- SORT on Col E then A
'Find row before last row in Column A with content
LRow = Cells(Rows.Count, 1).End(xlUp).Offset(-1, 0).Row
Rows("2:" & LRow).Sort Key1:=Range("E2"), _
Order1:=xlAscending, Key2:=Range("A2"), _
Order2:=xlAscending, Header:=xlNo, _
OrderCustom:=1, MatchCase:=False, _
Orientation:=xlTopToBottom
End Sub
Event Macros, Worksheet Events and Workbook Events
http://www.mvps.org/dmcritchie/excel/event.htm
Also of interest might be
Sorting, Some notes on sorting in Excel
http://www.mvps.org/dmcritchie/excel/sorting.htm#activate