In Excel 2007 you can sort as many columns as you like. In prior versions, do this:
If you want to sort columns in the order A, C, F, B, I,
Split your columns into groups of three, from the start.
Group 1 = A, C, F
Group 2 = B, I
Then sort each group in reverse order. So, do the sort on group 2 first, then group 1.
Here is a link to a knowledge base article saying the same thing:
How to sort more than three columns in Excel