Try this, Phil:

DROP TABLE #Tester

CREATE TABLE #Tester (col1 CHAR(1), col2 CHAR(1), col3 CHAR(1))

INSERT INTO #Tester (col1, col2, col3)

SELECT 'A', 'D', 'B' UNION ALL

SELECT 'B', 'C', 'A' UNION ALL

SELECT 'C', 'B', 'D' UNION ALL

SELECT 'D', 'A', 'C'

SELECT col1, col2, col3

FROM #Tester

ORDER BY col1

-- Sort operator: col1 Ascending

SELECT col1, col2, col3

FROM #Tester

ORDER BY 2

-- Sort operator: col2 Ascending

DECLARE @SortColumn INT

SET @SortColumn = 3

SELECT col1, col2, col3

FROM #Tester

ORDER BY @SortColumn

-- The SELECT item identified by the ORDER BY number 1 contains a variable

-- as part of the expression identifying a column position. Variables are

-- only allowed when ordering by an expression referencing a column name.

SELECT col1, col2, col3

FROM #Tester

ORDER BY (SELECT @SortColumn)

-- @SortColumn is evaluated to a constant and optimised out: no sort operator

DECLARE @Statement VARCHAR(8000)

SET @Statement =

'SELECT col1, col2, col3

FROM #Tester

ORDER BY '+CAST(@SortColumn AS CHAR(1))

EXEC(@Statement)

-- Sort operator: col3 Ascending