private void dataGridView1_ColumnHeaderMouseClick(
    object sender, DataGridViewCellMouseEventArgs e)
{
    DataGridViewColumn newColumn = dataGridView1.Columns[e.ColumnIndex];
    DataGridViewColumn oldColumn = dataGridView1.SortedColumn;
    ListSortDirection direction;

    // If oldColumn is null, then the DataGridView is not sorted.
    if (oldColumn != null)
    {
        // Sort the same column again, reversing the SortOrder.
        if (oldColumn == newColumn &&
            dataGridView1.SortOrder == SortOrder.Ascending)
        {
            direction = ListSortDirection.Descending;
        }
        else
        {
            // Sort a new column and remove the old SortGlyph.
            direction = ListSortDirection.Ascending;
            oldColumn.HeaderCell.SortGlyphDirection = SortOrder.None;
        }
    }
    else
    {
        direction = ListSortDirection.Ascending;
    }

    // Sort the selected column.
    dataGridView1.Sort(newColumn, direction);
    newColumn.HeaderCell.SortGlyphDirection =
        direction == ListSortDirection.Ascending ?
        SortOrder.Ascending : SortOrder.Descending;
}

private void dataGridView1_DataBindingComplete(object sender,
    DataGridViewBindingCompleteEventArgs e)
{
    // Put each of the columns into programmatic sort mode.
    foreach (DataGridViewColumn column in dataGridView1.Columns)
    {
        column.SortMode = DataGridViewColumnSortMode.Programmatic;
    }
}