Hi Maartje,
Unfortunately with the out of the box solution that is not possible. As a work-around, you could set the retrieve action to Microflow. Then you won't be able to sort the columns anymore. You still can sort the data in the microflow retrieve though...
You could try to override the function on the column header using the html/javascript widget with a function that does nothing on the click of the header. For some pointers see this question on stackoverflow (nothing to do with Mendix, pure javascript question)