There was a great article on this subject in the 4/00 issue of FoxPro Advisor (p. 42, 'Create the Ultimate Grid', by Doron Farber). He describes ways to implement grid column sorts by clicking on the column header, as well as an incremental search within the column. In a nutshell it involves creating a container class and a grid class. Each column of the grid in turn uses a custom text box which contains the desired functionality.
An example file FARBD032.ZIP can be downloaded from the FoxPro Advisor site at:
http://www.advisor.com/wHome.nsf/w/MMFfilesPlease respect all 'copy and use' restrictions as requested by the site and author. I believe this example code will give you some good insight on how to accomplish what you want to do. Thanks to those who provided it.