some code would help. can you show e.g. the controller? generally i would say you have to include the table name in the property to sort by, e.g.
@events = Event.find(:all, :include => :location, :order => "location.name")
so "location.name" (or "location.name_reverse") would be the param in the sort link to sort by location name.
i'm just guessing here what the problem might be, as i said show some code that might clear things up.