How are you getting the images to be displayed in thie column? Are you using a TextBox or Static CellType and setting style.ImangeIndex and style.ImageList somehow? Or are you using an Image CellType, or are you doing something else? Is this an unbound column where you are setting it values from QueryCellInfo or PrepareViewStyleInfo?
By default, a GridDataBoundGrid sorts a column by using the DataView.Sort property on the DataView associated with the DaatSource of teh grid. If your column is unbound, this will not sort it. If your column is bound, I would expect that rows to be sorted by whatever value it is that your DataSource has in that column.
If you want to sort an unbound column, then you will have to use some kind of custom sorting technique to manage this. Here is a sample that has a SortHelper class that can do most of this work for you.
GridDataBoundGridCustomSorting_1520.zip