Sorting and pagination not working correctly

Sorting and pagination not working correctly

When I go to look at my contacts and click on the Last Name column to sort, the page re-queries.  It does not sort the names that are already on the page.  If I go to the next page of contact and click on sort, it re-queries.  So, I can't see the second page sorted.

What I want is to set the default sorting to Last name and when I go to the next page, I get the next name from the last name based on the first page.

How can I set the default sorting?