Ideally when specifying a sort order, every report line should have a value on which the report can sort.
However if some of the values can be blank, specify an ascending order (click on the A in the field details). The field will sort blanks first and then on the values.
(Note: If a descending sort is used, the report will sort the values first and disregard the subsequent blanks. The ascending order makes the report go through each line, from blank to values, which is needed if there are sorts below this one to apply.)