Steve,
You can just create the index and the grid will respect it.
To best handle this you need to create a custom Header subclass and I can post some sample code for it later tonight (I don't have it handy right now)
>I am creating a cursor which I use to populate a grid. Now my users want to double click the grid header and the grid records be sorted by the column clicked on. How can I index and sort on the fly using a tempoary index?