public static void SetGridViewSortArrow(SPGridView spGridView, string sortExpression, SortDirection sortDirection)
      {
         // Show arrow on sorted column
         for (int colIndex = 0; colIndex < spGridView.Columns.Count; colIndex++)
         {
            DataControlField field = spGridView.Columns[colIndex];
            if (((field == null) || string.IsNullOrEmpty(field.SortExpression)) 
                || (field.SortExpression.ToLower(CultureInfo.CurrentCulture) != sortExpression.ToLower(CultureInfo.CurrentCulture)))
               continue;

            DataControlFieldHeaderCell cell2 = (DataControlFieldHeaderCell)spGridView.HeaderRow.Cells[colIndex];
            Image image = new Image();
            if (sortDirection == SortDirection.Ascending)
               image.ImageUrl = "/_layouts/images/sortup.gif";
            else
               image.ImageUrl = "/_layouts/images/sortdown.gif";
            image.Style[System.Web.UI.HtmlTextWriterStyle.MarginLeft] = "2px";
            cell2.Controls.Add(image);
            break;
         }
      }

Aufgerufen wird das ganze dann im gridView_Sorting Event nach dem sortieren und vor allem nach dem

spGridView.DataBind();