Here is the actual code that does it...
$(document).ready(function()
{
var oTable = $('#myTable').dataTable();
// Sort immediately with column 2 (at position 1 in the array (base 0). More could be sorted with additional array elements
oTable.fnSort( [ [1,'asc'] ] );
// And to sort another column descending (at position 2 in the array (base 0).
oTable.fnSort( [ [2,'desc'] ] );
} );
To not have the column highlighted, modify the CSS like so:
table.dataTable tr.odd td.sorting_1 { background-color: transparent; }
table.dataTable tr.even td.sorting_1 { background-color: transparent; }