Lets say, you need to sort 2nd 3rd and 4th column in your gridView... After you populate gridview do the following.
gridview.Columns.Clear();
gridview.DataSource = somedatasource;
gridview.AutoGenerateColumns = true;
if (this.gridview.Rows.Count > 0)
{
gridview.Columns[1].SortMode = gridview.Columns[2].SortMode = gridview.Columns[3].SortMode = DataGridViewColumnSortMode.Automatic;
gridview.Sort(gridview.Columns[1], ListSortDirection.Ascending);
}