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 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;
}