Sure, so your jump list should basically just have some links back to the same page, I will call it results. So in the jump menu you would have links that look like this:
With these links you will need to pass a parameter for the sort server behavior to check. I will call it sort. So the link with the parameter would look like this:
results.php?sort=<the column name to sort>
I think this is the best way to setup the URL parameter. Once you have done this you will need apply the sort server behavior. When you apply it you will use a custom trigger, if your parameter is named sort the trigger should look like this:
Then below this you just configure the rest of the server behavior. In the sorting section add the column you want to sort, then specify ASC or DESC. If you want it to reverse the order when it is clicked on again make sure to check the box for 'Toggle sort on subsequent visits'. I'm including a screen shot of the interface so you can see how mine is setup.
Once you get it working like this you can edit the sort server behavior and where you specify the column change it to be the same value as the trigger, this way you just need to pass the sort parameter with any column name in it and it will sort that column.