or you can make each header a link to the same page with the sort fields in the querystring:
<%
Dim sortOrder
Dim sortField
Dim sSQL
sortField=Request.QueryString("s"

If sortField = "" Then
sortField = "Name" 'default to sort by name
End If
sortOrder=Request.QueryString("o"

If sortOrder = "" Then
sortOrder = "ASC" ' default to ascending
End If
sSQL = "SELECT * FROM tablename WHERE field='whatever' ORDER BY " & sortField & " " & sortOrder
..... continue db processing.....
'swap sort order
If sortOrder = "ASC" Then
sortOrder = "DESC"
Else
sortOrder = "ASC"
End If
'page headers...
%>
<a href="thisPage.asp?s=Name&o=<%=sortOrder%>">Name</a> <a href="thisPage.asp?s=State&o=<%=sortOrder%>">State</a> <a href="thisPage.asp?s=Date&o=<%=sortOrder%>">Date</a>
.. and so on....