I know you have probably done this lol but I thought I would mention it anyways.
If you click on the top right corner arrow of the datagridview(where you add a new data source) you will see the link, "Edit Columns".
If you click that link, a window will pop open. Select your column on the left and then on the right, in the "Behavior" heading, you should see "SortMode".
Change the SortMode to Automatic. That will allow the datagridview column to be sorted automatically when the user clicks on the column header.
Hope this helped a little.