Pretty much what fs5 said.
Add a variable called 'orderBy' to your SQL statement when you do the query. The value will be the name of the column you wish to order by.
For example, make the Player Name text in that column a link to
http://www.yourdomain.com/pagename.php?orderBy=Player%20Name.
orderBy should be a GET variable, and when you do the SQL query it would be something like:
$orderBy = $_GET['orderBy'];
$query = "SELECT * FROM table ORDER BY $orderBy";
Then when you click that link in the Player Name column, it will refresh the page, send it Player Name as the sort option, and display your table sorted by Player Name.