Working on e commerce shopping site I am observing that user sort first and then refine their result. Giving both option confusing the user ?
While I agree with the commenters that your question is overly broad, in the general case the answer is no, providing both options will not confuse your users. In fact, what you are describing is an interface pattern called faceted search and it is one of the most common patterns on the web.
Amazon uses it:
Zappos uses it:
Once you recognize this pattern, you will see it everywhere.
Note the convention to place filters directly to the left of the results. Both Zappos and Amazon respect this convention. Note also that they each handle sorting quite differently. Zappos uses a row of tabs with different sorting options and Amazon uses a diminutive "Sort by" dropdown. I don't know that either is strictly better, but I prefer Amazon's treatment because means that users who are accustomed to sorting will be able to make use of the feature and the diminutive design means that it will get out of the way for users who don't commonly sort. Since you are concerned about confusing your users, you may find this works better (but you should test!).
In general, using conventional interface patterns is a good idea. When you have a problem that may fit an established pattern, I find it's best to try that pattern first and then fix anything that isn't working. For reference, the canonical book on interface patterns is Designing Interfaces by Jennifer Tidwell. It's coming along in age, but unless you're doing mobile, you'll find most of the established patterns still in place. If you are developing a mobile interface that, of course, changes where you go to look for established patterns.
If you have observed your users sorting before filtering that's a good observation. But since this is an e-commerce site I would imagine attracting new users (= shoppers) is a very big deal. Because of that, I would make either selection work in any order. User might sort on price first, filter by brand secondly and sort again by feature as number three.
I would suggest only one sorting option at a time, since it get's overly complicated if you'd try to sort two columns after each other, as in ascending price followed by brand descending order. Even on local intranets, in very familiar environments multiple simultanious sorts brings cognitive load to the users.
The different sorting options really depend on the context. Are you selling car spare parts? Than I guess there would be many options. If you only sell tires, than you would probably get away with two or three.
Filter is a different story. You can use at least two and probably as many as four simultanious filters if you have a need for it. But again, your users need should make the desicion here. The number of filter options again depend on context. Do you need five? Use five.
Use the sorting and filtering combined would do fine, as long as you just use one sort at a time combined with several filters. If the user feel they need to combine it - they will, if not - they won't
Remember to measure how your sorts and filters are used in production and adjust the system accordingly.
The short answer
It is absolutely sensible to use filter and sort options together because, for users, they are similar: tools for parsing search results. In my opinion they don't distinguish as clearly as developers do the differences between these two controls.
The long answer
I strongly recommend you an article writen by Greg Nudelman in UX matters magazine: The Mystery of Filtering by Sorting. It gives interesting insights into this subject and backs them up with evidence gathered in user testing sessions.