The sorting options active

Have you prepared your music on the USB drive using Rekordbox?

Yes

Then you simply need to prepare your drive for the various sort options available.

Watch this video from around the 4:10 mark.

What video?

Looks like the link broke - that post was from 5 years ago and the updated software might have removed the link. Try here, the whole video -- it's from an OLD version of rekordbox but those steps haven't changed.