>Anyone knows if i can create an header of a column (of a grid), with a little picture on it? I want to simulate the order by ascending/descending.

You've got a couple options, maybe use ">" or "<" or "/\" or "\/" to show it. You can also try useing a wings dings font or something like that. Otherwise, your option is to create image objects that float over the header. They're tricky to implement if the columns could be resized or moved.