How to get multi-row sort/filtering headers in excel

No. Omit the first row from your range when you auto filter. This way the auto filter buttons appear only on your bottom header row and the data gets filtered. I expect that right now your second header row is getting pulled into your 'data'.

You can't select a single cell and have excel figure this out. You have to select the range of cells you want excel to include.

An easy way to accomplish the sort function using multiple header rows is to insert a blank row just above the row you want to sort by (ideally, it is bottom-most in your header. If not, make it so.). Then click on the 'row' number highlighting the empty row. Right click that row and select "Hide'. The new, empty row will vanish leaving your header the way you wanted it to look and Excel will interpret your category row as the header.

If you select an entire row (by selecting the row number to the left of the row) and then enable your filter (Data > Filter) then it will give you filters for everything below the selected row and ignore everything above it.