One way to do this is to handle the sort yourself, saving what you want saved before the sort, and then restoring things after the sort. You can do this by turning off the default sorting, catching the doubleclick event, and doing the work in your handler. Here is a sample.
9172_2810.zip
Another technique is to derive the grid and override SortColumn, and do things there like saving information, calling the baseclass, and then restoring the save information.