How to sort DataGridView when bound to a binding source that is linked to an EF4 Entity

I recently struggled with this same issue; it seems that the IQueryable interface doesn't provide enough information for the DataViewGrid to know how to sort the data automatically; so you have to either repackage your collection from the Entity source using something it can use or do what I did and handle the sorting functionality manually:

      private void myDataGridView_ColumnHeaderMouseClick(object sender, DataGridViewCellMouseEventArgs e)
  {
     DataGridViewColumn column = myDataGridView.Columns[e.ColumnIndex];

     _isSortAscending = (_sortColumn == null || _isSortAscending == false);

     string direction = _isSortAscending ? "ASC" : "DESC";

     myBindingSource.DataSource = _context.MyEntities.OrderBy(
        string.Format("it.{0} {1}", column.DataPropertyName, direction)).ToList();

     if (_sortColumn != null) _sortColumn.HeaderCell.SortGlyphDirection = SortOrder.None;
     column.HeaderCell.SortGlyphDirection = _isSortAscending ? SortOrder.Ascending : SortOrder.Descending;
     _sortColumn = column;
  }

I hope that helps.