What is your data source? You must have a data source that supports sorting.
eg. DataTable
If you have a List, you cannot sort by default. Theoretically, you need your class, which inherits from BindingList and implements IBindingList (inheriting from BindingList is not nessacary, but makes it a little easier).
If your BingingList is bound to a DataGridView, you can sort.
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