OnSortCommand="datagrid1_SortCommand" AllowSorting="true" and set SortExpression="ColumnName" for which column you want sort
public static int numberDiv;
protected void datagrid1_SortCommand(object source, DataGridSortCommandEventArgs e)
{
SqlDataReader dr = null;
dr = objSource.GetList();
DataSet ds = new DataSet();
DataTable dt = new DataTable();
dt.Load(dr);
DataView dv = new DataView(dt);
if ((numberDiv % 2) == 0)
dv.Sort = e.SortExpression + " " + "ASC";
else
dv.Sort = e.SortExpression + " " + "DESC";
numberDiv++;
datagrid1.DataSource = dv;
datagrid1.DataBind();
}