I don't find a column class or a header class in the VFP base classes.

They are still there, you still have to define them in a .prg. In the .prg, you can do something like this:

DEFINE CLASS colCustom AS Column
  Name = "Colcustom"
  HeaderClass = "hdrSortGrid"
  HeaderClassLibrary = "GridMembers.prg"
ENDDEFINE

DEFINE CLASS hdrSortGrid AS Header
  Name = "hdrCustom"
  Caption = ""
  FontBold = .T.
  PROCEDURE Click
    This.Parent.Parent.SortGrid( This.Parent )
  ENDPROC
ENDDEFINE 

Then you specify colCustom as the memberClass of the grid and GridMembers.prg as its MemberClassLibrary.