Wrong answer, that would disassociate all of the data
from the corresponding column being sorted.
First Select a cell in the column you want to sort in (this is not
real important is you use the Sort menu.
Second select all cells, for all versions of Excel through
Excel 2002 (XP) that would be Ctrl+A like in ALL applications
software.
If you have Excel 2003 (your data is at risk using
Ctrl+A) you have to hit Ctrl+A twice and probably worse after
Excel 2003. You can accomplish "almost"
the same thing using the gray button between the row headings and
the column headings, and most likely will change your active cell.
Third, Data, Sort, Column A or as known by the header row (1st row)
cell of the selection. If your data has a header column be sure to
check the "My data has headers" so that it will not be sorted.
http://www.mvps.org/dmcritchie/excel/sorting.htm
http://www.mvps.org/dmcritchie/excel/shortx2k.htm