You can do this by deriving the DataGrid and overriding the OnMouseDown method. In the override, do a HitText and if the hit is on a column header that you do not want to sort, do not call the base class's method. Here is a code that sorts all columns except the second column

[C#]

using System.Drawing;
using System.Windows.Forms;

public class CustomDataGrid : DataGrid
{
  protected override void OnMouseDown( MouseEventArgs e )
  {
    Point point = new Point( e.X, e.Y );
    DataGrid.HitTestInfo hti = HitTest( point );

    // don't sort column 1
    if ( hti.Type == HitTestType.ColumnHeader && hti.Column == 1 )
      return;

    base.OnMouseDown(e);
  }
}

[Visual Basic]

Public Class CustomDataGrid
  Inherits DataGrid

  Protected Overrides Sub OnMouseDown(ByVal e As MouseEventArgs)
    Dim point As New Point(e.X, e.Y)
    Dim hti As DataGrid.HitTestInfo = HitTest(point)

    ' don't sort column 1
    If hti.Type = HitTestType.ColumnHeader AndAlso hti.Column = 1 Then
      Return
    End If

    MyBase.OnMouseDown(e)
  End Sub

End Class

Contributed from George Shepherd's Windows Forms FAQ