In NAV2009, you can sort Sales Quotes by default as following:
-Document Type,No.
-No.,Document Type
-Document Type,Sell-to Customer No.,No.
-Document Type,Combine Shipments,Bill-to Customer No.,Currency Code
-Sell-to Customer No.,External Document No.
-Document Type,Sell-to Contact No.
-Bill-to Contact No.
If you want some another way, you have to add new Key.
Unfortunately, you can sorting by all columns, only in NAV2013R2.