Lutz - MS is quite happy to have code in the grid header click event -
https://msdn.microsoft.com/en-us/library/azc9x3f9%28v=vs.80%29.aspx, so I put code in there just to see if it works, and it does, but you have to physically click it.
I tried making a method called 'gridorder' and putting the 'set order to' in there, and calling that, but that didn't work either.