Clicking the New... button will bring up a name dialog, followed by a Multiple Sort dialog.
Selecting sort criteria and then clicking OK will create the Sort Setting file, making it appear in the Sort Settings list.
Edit a Sort Setting
Highlight any saved Sort Setting and click Edit… to modify it.
Rename a Sort Setting
Highlight any saved Sort Setting and click Rename to rename it.
Delete a Sort Setting
Highlight any saved Sort Setting and click Delete to delete it.
Apply a Sort Setting
Any Sort Setting selected can be applied to the current worksheet.
Managing Sort Settings
Selecting Manage Sort Settings… anywhere it is available will bring up the Manage Sort Settings dialog: