How to make conditional ordering for two or more columns

I'll admit I've never had to do this before so there was a bit of head scratching involved. Simple example table to demonstrate:

IF  EXISTS (SELECT * FROM sys.objects WHERE object_id = OBJECT_ID(N'[dbo].[MyTable]') AND type in (N'U'))
    DROP TABLE [dbo].[MyTable]
GO

CREATE TABLE dbo.MyTable
(
    col1 INT
    , col2 CHAR(1)
)
GO

INSERT dbo.MyTable (col1, col2) VALUES (1, 'A')
INSERT dbo.MyTable (col1, col2) VALUES (1, 'B')
INSERT dbo.MyTable (col1, col2) VALUES (1, 'C')
INSERT dbo.MyTable (col1, col2) VALUES (2, 'A')
INSERT dbo.MyTable (col1, col2) VALUES (2, 'B')
INSERT dbo.MyTable (col1, col2) VALUES (2, 'C')
INSERT dbo.MyTable (col1, col2) VALUES (3, 'A')
INSERT dbo.MyTable (col1, col2) VALUES (3, 'B')
INSERT dbo.MyTable (col1, col2) VALUES (3, 'C')

Using an @SortStyle parameter to differentiate between sort orders, @SortStyle =1 will sort by col1 ASC, col2 DESC and @SortStyle=2 sort by col2 DESC, col1 ASC.

DECLARE @SortStyle INT
SET @SortStyle = 1

SELECT
    col1
    , col2
FROM
    dbo.MyTable
ORDER BY
    CASE
        WHEN @SortStyle = 1 THEN col1
    END ASC,
    CASE
        WHEN @SortStyle = 1 THEN col2
    END DESC,
    CASE
        WHEN @SortStyle = 2 THEN col2
    END DESC,
    CASE
        WHEN @SortStyle = 2 THEN col1
    END ASC

SET @SortStyle = 2

SELECT
    col1
    , col2
FROM
    dbo.MyTable
ORDER BY
    CASE
        WHEN @SortStyle = 1 THEN col1
    END ASC,
    CASE
        WHEN @SortStyle = 1 THEN col2
    END DESC,
    CASE
        WHEN @SortStyle = 2 THEN col2
    END DESC,
    CASE
        WHEN @SortStyle = 2 THEN col1
    END ASC

How do you ORDER BY a parameter covers the simpler case of sorting by just 1 column.

Assuming you have more cases (I added one), and all types are compatible,

order by 
    case @pkr
        when 'KOL-NCI' then kol
        when 'kol-MPCI' then kol
        when 'foo-bar' then foo
    end,
    case @pkr
        when 'KOL-NCI' then nci
        when 'kol-MPCI' then mpci
        when 'foo-bar' then bar 
    end

It isn't a multi-column sort: you have a primary sort, followed by a secondary sort. Just look at the sort dialogue box in Excel to see what I mean.