Private Sub dataGridView1_ColumnHeaderMouseClick(ByVal sender As Object, _
    ByVal e As DataGridViewCellMouseEventArgs) _
    Handles dataGridView1.ColumnHeaderMouseClick

    Dim newColumn As DataGridViewColumn = _
        dataGridView1.Columns(e.ColumnIndex)
    Dim oldColumn As DataGridViewColumn = dataGridView1.SortedColumn
    Dim direction As ListSortDirection

    ' If oldColumn is null, then the DataGridView is not currently sorted.
    If oldColumn IsNot Nothing Then

        ' Sort the same column again, reversing the SortOrder.
        If oldColumn Is newColumn AndAlso dataGridView1.SortOrder = _
            SortOrder.Ascending Then
            direction = ListSortDirection.Descending
        Else

            ' Sort a new column and remove the old SortGlyph.
            direction = ListSortDirection.Ascending
            oldColumn.HeaderCell.SortGlyphDirection = SortOrder.None
        End If
    Else
        direction = ListSortDirection.Ascending
    End If

    ' Sort the selected column.
    dataGridView1.Sort(newColumn, direction)
    If direction = ListSortDirection.Ascending Then
        newColumn.HeaderCell.SortGlyphDirection = SortOrder.Ascending
    Else
        newColumn.HeaderCell.SortGlyphDirection = SortOrder.Descending
    End If

End Sub

Private Sub dataGridView1_DataBindingComplete(ByVal sender As Object, _
    ByVal e As DataGridViewBindingCompleteEventArgs) _
    Handles dataGridView1.DataBindingComplete

    ' Put each of the columns into programmatic sort mode.
    For Each column As DataGridViewColumn In dataGridView1.Columns
        column.SortMode = DataGridViewColumnSortMode.Programmatic
    Next
End Sub