>I tried that, but so far didn't fing the "cheap" and at the same time good-looking solution. You can add arrows to your Header caption - but the font you are using may not have these symbols, or they don't look good. You can place label showing the arrow with it's own font over the header, but it involves more coding if you have Resizeable and Movable columns.
>I think the solutions implemented in some frameworks are not bad: for example in Visual Extend grid column sorting automatically resets header background for Red or Blue for ascending or descending order.

I tried at first, too...but really, even the metaphorical user "Idiot" should be able to tell which way a column is sorted...now showing which column is the active sort, that's not a bad idea...