The Following small snippet gives the brief idea about this...
public class WebForm1 : System.Web.UI.Page
{
       protected System.Web.UI.WebControls.DataGrid DataGrid1;
       public SqlConnection conn;
       public SqlCommand cmd;
       public SqlDataReader reader;
            
       private void Page_Load(object sender, System.EventArgs e)
       { 
             if(!Page.IsPostBack)
             {
                 /* First Time when the Page is loaded the records are displayed in  
                    descending order on column EmpCodeVc */

 	this.sortCriteria = "EmpCodeVc";
	this.sortDir = "desc";
	dispgrid(this.sortCriteria,this.sortDir);
              }
       }

       public void dispgrid(string s1,string s2)
       {
              conn =    new  SqlConnection  "server=;database=;uid=;pwd=");
              conn.Open();
	
              cmd = new SqlCommand ("(select EmpCodeVc,FirstNameVc + ' '   
                  +LastNameVc 'EmpNameVc from  employee order by " + s1 +" " + s2 , conn);
		
              reader = cmd.ExecuteReader ();
              DataGrid1.DataSource = reader;
              DataGrid1.DataBind ();
              conn.Close();
       }

       public string sortCriteria 
       {
	   get
	   {
                    /* ViewState is the Property which is used to get or set the values to a 
                        Property*/
		   return (string)ViewState["sortCriteria"];
	   }
	   set
                   {
		   ViewState["sortCriteria"] = value;
	   }
       }

       public string sortDir 
       {
	   get
	    {
		return (string)ViewState["sortDir"];
	    }
	    set
	    {
		ViewState["sortDir"] = value;
                    }
       }
       /* Whenever we Click on DataGrid Column the following Event is going to be executed*/
       private void DataGrid1_SortCommand(object source,   
               System.Web.UI.WebControls.DataGridSortCommandEventArgs e)
       {
	if(this.sortCriteria == e.SortExpression)
	{
		if(this.sortDir == "desc")
		     this.sortDir = "asc";
		else
		     this.sortDir = "desc";
	}
		 
	this.sortCriteria = e.SortExpression;
	dispgrid(this.sortCriteria,this.sortDir);
        }
}