LDD Web Design on "[Plugin: LDD Directory Lite] Multiple sort on the listing page"

You should be able to use the shortcodes to display the listings by multiple sort options. In your example the correct code should be:

[directory list_order_by="zip" list_order="asc" list_order_by="business_name" list_order="asc"]

This should display the posts in the correct order in each category.

Other sort settings include:
Category:
cat_order_by="xxx" : id , slug , title , count

Featured Lisdting
fl_order_by="xxx" : business_name , zip , area , category , random

Listings:
list_order_by="xxx" : business_name , zip , area , category , random