Put this in the GRID INIT:

LOCAL loColumn, loControl
FOR EACH loColumn IN THIS.Columns
   FOR EACH loControl IN loColumn.Controls
      IF UPPER(loControl.BaseClass) = [HEADER]
         BINDEVENT(loControl, 'Click', THIS, 'OnHeaderClick')
      ENDIF
   ENDFOR
ENDFOR

Now just add a OnHeaderClick method to your grid class.

The point here is bind the click event of the header to some method in your grid or form, then put your code in that grid or form method.