This will depend a little on the size of your dataset. Since we use a stable sort you can relatively easily achieve this by keeping a list of sort columns and sort them from last to first. See the example below for a demonstration.

If you have a lot of records you might want to implement your own model that will more efficiently sort based on multiple columns.

#include <QtGui>

#define SETPERSON(index, first, second, salary)     setItem(index, 0, new QTableWidgetItem(first));     setItem(index, 1, new QTableWidgetItem(second));     setItem(index, 2, new QTableWidgetItem);     item(index, 2)->setData(Qt::DisplayRole, salary);

class Table : public QTableWidget
{
    Q_OBJECT
public:
    Table(QWidget *parent = 0)
        : QTableWidget(6, 3, parent)
    {
        SETPERSON(0, "Jerry", "Springer", 1000000);
        SETPERSON(1, "Foo", "Springer", 12341);
        SETPERSON(2, "John", "Wayne", 12341);
        SETPERSON(3, "Bob", "Carver", 80000);
        SETPERSON(4, "Bob", "Carver", 81000);
        SETPERSON(5, "Bob", "Ulong", 60000);
        updateSortOrder();
        connect(horizontalHeader(), SIGNAL(sectionClicked(int)),
                this, SLOT(onHeaderClicked(int)));
        disconnect(horizontalHeader(), SIGNAL(sectionPressed(int)), this, SLOT(selectColumn(int)));

    }

    void updateSortOrder()
    {
        QStringList list;
        list << "First name" << "Last name" << "Salary";
        for (int i=0; i<sortOrder.size(); ++i)
            list[sortOrder.at(i).column].append("(" + QString::number(i + 1) + ")");
        setHorizontalHeaderLabels(list);
        for (int i=sortOrder.size() - 1; i>=0; --i) {
            sortItems(sortOrder.at(i).column, sortOrder.at(i).ascending ? Qt::AscendingOrder : Qt::DescendingOrder);
        }
    }
public slots:
    void onHeaderClicked(int section)
    {
        bool ascending = true;
        if (!(QApplication::keyboardModifiers() & Qt::ControlModifier) || sortOrder.isEmpty()) {
            if (!sortOrder.isEmpty() && sortOrder.first().column == section) {
                ascending = !sortOrder.first().ascending;
            }
            sortOrder.clear();
        } else {
            const int index = findSection(section);
            if (index != -1) {
                if (index == sortOrder.size() - 1) {
                    ascending = !sortOrder.last().ascending;
                }
                sortOrder.removeAt(index);
            }
		}
        sortOrder.append(SortData(section, ascending));
        updateSortOrder();
    }
private:
    int findSection(int section) const
    {
        for (int i=0; i<sortOrder.size(); ++i) {
            if (sortOrder.at(i).column == section)
                return i;
        }
        return -1;
    }
    struct SortData {
        SortData(int sec = -1, bool asc = true) : column(sec), ascending(asc) {}

        int column;
        bool ascending;
    };
    QList<SortData> sortOrder;
};


#include "main.moc"


int main(int argc, char **argv)
{
    QApplication a(argc, argv);
    Table w;
    w.show();
    return a.exec();
}