//in frame constructor
Grid->Connect(wxEVT_GRID_COL_SORT,(wxObjectEventFunction)&Frame::OnGridColSort);
//...


void Frame::OnGridColSort(wxGridEvent& event)
{
    int sortedCol = event.GetCol();//Grid->GetSortingColumn();
    //Grid->SetSortingColumn(sortedCol,true);
    wxString mes = _("Sort");
    mes<<sortedCol;
    //wxMessageBox(mes);
    event.Skip();

}