public static void SortDataGrid(object sender, System.Windows.Forms.MouseEventArgs e)
{
   DataGrid.HitTestInfo hitTest;
   DataTable dataTable;
   DataView dataView;
   string columnName;
   DataGrid dataGrid;

   // Use only left mouse button clicks.
   if (e.Button == MouseButtons.Left)
   {
   // Set dataGrid equal to the object that called this event handler.
   dataGrid = (DataGrid)sender;

   // Perform a hit test to determine where the mousedown event occured.
   hitTest = dataGrid.HitTest(e.X, e.Y);

   // If the MouseDown event occured on a column header,
   // then perform the sorting operation.
   if (hitTest.Type == DataGrid.HitTestType.ColumnHeader)
   {
      // Get the DataTable associated with this datagrid.
      dataTable = (DataTable)dataGrid.DataSource;

      // Get the DataView associated with the DataTable.
      dataView = dataTable.DefaultView;

      // Get the name of the column that was clicked.
      if(dataGrid.TableStyles.Count != 0)
         columnName = dataGrid.TableStyles[0].GridColumnStyles[hitTest.Column].MappingName;
      else
         columnName = dataTable.Columns[hitTest.Column].ColumnName;

      // If the sort property of the DataView is already the current
      // column name, sort that column in descending order.
      // Otherwise, sort on the column name.
      if (dataView.Sort == columnName)
         dataView.Sort = columnName + " DESC";
      else
         dataView.Sort = columnName;
      }
   }
}

private void dgDataGrid_MouseUp(object sender, System.Windows.Forms.MouseEventArgs e)
{
   if(dgDataGrid.VisibleRowCount == 0) return;
   SortDataGrid(sender, e);
   dgDataGrid.Select(dgDataGrid.CurrentRowIndex);
}