How change defaultt sort arrows in CMFCListCtrl?

I think you can do it using normal SetItem method.

Provided you have an CImageList member variable called m_imgOrder in your class populate it with your icons. Image 0 will be your ascending icon and Image 1 will be a descending one.

// hIconAsc and hIconDes are the HICON values for Ascending and Descending icons
// Set it once
m_imgOrder.Create(16, 16, ILC_MASK, 2, 2);
m_imgOrder.Add(hIconAsc);
m_imgOrder.Add(hIconDes);
GetHeaderCtrl()->SetImageList(&m_imgOrder);

This function will draw your own icons from the Image list you have created:

void CMyListCtrl::DisplayHeaderOrder(int nIndex, BOOL bAsc)
{
  HD_ITEM curItem = {0};
  curItem.mask    = HDI_IMAGE | HDI_FORMAT;
  GetHeaderCtrl()->GetItem(nIndex, &curItem);
  curItem.mask    = HDI_IMAGE | HDI_FORMAT;
  curItem.iImage  = bAsc ? 0 : 1;
  curItem.fmt     = HDF_LEFT | HDF_IMAGE | HDF_STRING|HDF_BITMAP_ON_RIGHT;
  GetHeaderCtrl()->SetItem(nIndex, &curItem);
}