When you sort more than one data item at a time, the left to right order of data on the Sort line dictates the sort order and creates a nested effect. The item at left on the Sort line is sorted first. Then items to the right are sorted in progression, each within the categories of the preceding item.
For example, if the first item is State, the second item City, and the third item Store, States are sorted alphabetically by name, and then within each state, cities are sorted by name, and then within each city, stores are sorted.
Nested effects are based solely on the placement of items on the Sort line. If the item order on the Request line differs from the order in the Contents pane, the sort is still nested, but the visual impact is not as pronounced.