Using BindEvent() to bind your header's click event is a piece of cake. Here's what you need to do. In your grid class's Init:

FOR EACH oColumn IN This.Columns
   FOR EACH oHeader IN oColumn.Controls
      IF UPPER(oHeader.BaseClass) = "HEADER"
         BINDEVENT(oHeader,"Click",This,"HeaderClick")
      ENDIF
   ENDFOR 
ENDFOR 

Then you create a method in your grid class called HeaderClick that runs the code you need. If you need to access any properties of the header that caused the click to be fired from within the HeaderClick method, you use the AEVENTS method:

AEVENTS[aCurEvent,0]
loCalledBy = aCurEvent[1]

loCalledBy then has an object reference to the header that the user clicked.