Dmitry,

I have been able to use the click event of the grid headder to set the order.

IF ORDER() != "LFNAME"
	SET ORDER TO 2   && LFNAME
ELSE
	SET ORDER TO
ENDIF
thisform.grid1.Refresh

Then in the Grid Refresh event, I reset the caption to bold or not

* reset the captions
this.Column2.Header1.FontBold = .f.
DO case
CASE ORDER() = "LFNAME"
	this.Column2.Header1.FontBold = .t.
ENDCASE
DODEFAULT()

HTH