Dim direction As SortOrder
.
.
.

direction = DataGridView1.SortOrder
MsgBox(direction.ToString())

columnXY = DataGridView1.SortedColumn
*' if no column set for sort use third one *
        If columnXY Is Nothing Then
            columnXY = DataGridView1.Columns(2)
        End If

Dim SetSortOrder As ListSortDirection
Dim GridSortOrder As SortOrder
GridSortOrder = DataGridView1.SortOrder

        If GridSortOrder = Windows.Forms.SortOrder.Ascending Then
            SetSortOrder = ListSortDirection.Ascending
        ElseIf GridSortOrder = Windows.Forms.SortOrder.Descending Then
            SetSortOrder = ListSortDirection.Descending
        ElseIf GridSortOrder = Windows.Forms.SortOrder.None Then
            SetSortOrder = ListSortDirection.Ascending
        Else : GridSortOrder = ListSortDirection.Ascending
            MsgBox("not good")
        End If

DataGridView1.DataSource = datasetXY.Tables(0)
DataGridView1.Sort(columnXY, SetSortOrder)