DEFINE CLASS oSomeHeader AS Header

 FUNCTION Click
  && sort here ..
 ENDFUNC

ENDDEFINE

-----
&& Add them to the grid column's in grid's Init Event ..

LOCAL lcCaption, lcTag, lcToolTip
FOR EACH pColumn IN THIS.Columns
 lcCaption = pColumn.Header1.Caption
 lcTooltip = pColumn.Header1.TooltipText
 pColumn.RemoveObject('Header1')
 pColumn.AddObject('Header1','oSomeHeader')
 pColumn.Header1.Caption = lcCaption
 pColumn.Header1.TooltipText = lcTooltip
ENDFOR