Clicking a column header makes data in the grid sorted by the column. If data is already sorted by the field, its sorts order is changed to the contrary sorting order.

The grid on the picture is sorted by Name. The triangle in the headers means that sorting is from greater to smaller. For sorting from smaller to greater, the inverse triangle is used.

You can also get access to sorting, grouping and some other grid layout features by right-clicking on a grid column header. Making this, you'll see the following context menu.

See also Gropuing Rows in Grids.