How you sort your records does not control what records are present in your current found set. You'll need to dig deeper here.
Is your layout based on the correct table? (See "Show Records From" in layout setup...)
Are the fields on the layout selected from the correct table occurrence. This should be the same table occurrence as that listed in Show Records from or a related table occurrence. (A Table Occurrence is a "box" found in Manage | Database | Relationships.
What is your current found set? Check pie chart next to the book control in the status area. Do you see 0 / somenumber? If so you have zero records in your found set. Do a find or Show All Records to pull up the records for your report.
Do you have a report with sub summary parts, but no body part? If so, you need to check the "sorted by" settings for your sub summary part(s) and make sure that your sort order includes that/those fields.