>Is it possible to put two different fonts in a header? For example, "Header" with a uparrow or dnarrow to show ascending or descending order of the column.

No. Not until VFP8, where you would be able to place picture in the Header.

You may check Vlad Grynchyshyn Grid Sorting example in Downloads section here. He achives this by quite complicated code. I prefered simplified method and show Asc/Desc with different colors.