Are you clicking within a local library view or on a local library node in the navigation tree? Assuming also that you're not using the replacement local library plug-in (that doesn't have the associative sorting you're wanting), if you're doing things from within the root / simple view, you'll need to select the column you want it sorted by within the view results (either the columns in a single list view or from the bottom pane if there's upper filters present).
-dro