Thanks. That solved the problem. For posterity, I used something like the code below.
gridObj.headerCellClick = function (evt, ui) {
var sortModel = $grid.pqGrid('option', 'sortModel');
if (evt.shiftKey) {
sortModel.single = false;
} else {
sortModel.single = true;
}
$grid.pqGrid('option', 'sortModel', sortModel);
};