The following code will allow you to have two clickable images within your column header. One indicating ascending and the other indicating descending. A click event on either of the images will reload the page and have it sorted accordingly!

'--adds a clickable image to indicate the sort direction for sortable columns
    '--gridview sorting should be enabled for this to work correctly
    '--within the the GridView_RowCreated Event put the following
    '       If (e.Row.RowType = DataControlRowType.Header) Then
    '           AddClickableSortImage(GridView1, e.Row)
    '       End If
    '
    '
    '--create a click event handler for the images
    'Sub SortImageClick(ByVal sender As Object, ByVal e As System.Web.UI.ImageClickEventArgs)
    '    If Request.QueryString("col") > "" Then
    '        If Request.QueryString("sort") = "asc" Then
    '            GridView1.Sort(Request.QueryString("col"), SortDirection.Ascending)
    '        Else
    '            GridView1.Sort(Request.QueryString("col"), SortDirection.Descending)
    '        End If
    '    End If
    'End Sub
    Protected Sub AddClickableSortImage(ByVal grid As GridView, ByVal item As GridViewRow)
        Dim i As Integer        '--counter
        Dim col As String       '--column name for sorting


        For i = 0 To grid.Columns.Count - 1                             '--iterate through the columns
            col = grid.Columns(i).SortExpression


            '--check to make sure this is a sortable column
            If col > "" Then
                '--create new image buttons and labels for the header
                Dim HeaderLabel As New Label
                Dim BlankLabel As New Label
                Dim imgBtnUp As New ImageButton
                Dim imgBtnDown As New ImageButton


                '--set the properties
                HeaderLabel.Text = grid.Columns(i).HeaderText & " "
                BlankLabel.Text = "   "     '--create a "gap" between sorting images


                imgBtnUp.PostBackUrl = Request.Path & "?LocID=" & Request.QueryString("LocID") & "&col=" & col & "&sort=asc"
                imgBtnUp.ImageUrl = "~/images/TriangleUp.gif"
                AddHandler imgBtnUp.Click, AddressOf SortImageClick


                imgBtnDown.PostBackUrl = Request.Path & "?LocID=" & Request.QueryString("LocID") & "&col=" & col & "&sort=desc"
                imgBtnDown.ImageUrl = "~/images/TriangleDown.gif"
                AddHandler imgBtnDown.Click, AddressOf SortImageClick


                '--this will remove the clickable column header link button that is automatically created
                '--when adding sorting capabilities to a gridview
                item.Cells(i).Controls.RemoveAt(0)


                '--add the new controls to the column header
                item.Cells(i).Controls.Add(HeaderLabel)
                item.Cells(i).Controls.Add(imgBtnUp)
                item.Cells(i).Controls.Add(BlankLabel)
                item.Cells(i).Controls.Add(imgBtnDown)
            End If
        Next
    End Sub


    '--click event handler for the image buttons for gridview sorting
    Sub SortImageClick(ByVal sender As Object, ByVal e As System.Web.UI.ImageClickEventArgs)
        If Request.QueryString("col") > "" Then
            If Request.QueryString("sort") = "asc" Then
                GridView1.Sort(Request.QueryString("col"), SortDirection.Ascending)
            Else
                GridView1.Sort(Request.QueryString("col"), SortDirection.Descending)
            End If
        End If
    End Sub