[2005] DataGridView Column sorting?

I have a datagridview in which the header columns are not sorting when clicked on. I thought this control does this by default. Am I wrong? If so, what property needs to be set in order to allow for Column Sorting?

Thanks,

This?
http://msdn.microsoft.com/en-us/library/95scxcdy.aspx

Thanks nmadd, that what I needed.