<asp:GridView ID="gvDetails" runat="server" 
              AutoGenerateColumns="False" 
              onsorting="gvDetails_Sorting">
<Columns>
<asp:TemplateField HeaderText="First Name" SortExpression="FirstName">
<ItemTemplate>
<asp:Label ID="lblFname" runat="server" Text='<%#Eval("FirstName")%>'/>
</ItemTemplate>
</asp:TemplateField>
<asp:TemplateField HeaderText="Last Name" SortExpression="LastName">
<ItemTemplate>
<asp:Label ID="lblLname" runat="server" Text='<%#Eval("LastName")%>'/>
</ItemTemplate>
</asp:TemplateField>
<asp:TemplateField HeaderText="Location" SortExpression="Location">
<ItemTemplate>
<asp:Label ID="lblLocation" runat="server" Text='<%#Eval("Location")%>'/>
</ItemTemplate>
</asp:TemplateField>
</Columns>
</asp:GridView>
 
protected void Page_Load(object sender, EventArgs e)
    {
        if (!Page.IsPostBack)
        {
            gvDetails.DataSource = BindGridView();
            gvDetails.DataBind();
        }
    }
    private DataTable BindGridView()
    {
        DataTable dtGrid = new DataTable();
        SqlConnection con = new SqlConnection(ConfigurationManager.ConnectionStrings["ConnectionString"].ConnectionString);
        string strSelect = "SELECT FirstName,LastName,Location FROM Details";
        SqlCommand cmd = new SqlCommand(strSelect, con);
        SqlDataAdapter dAdapter = new SqlDataAdapter(cmd);
        dAdapter.Fill(dtGrid);
        return dtGrid;
    }
VB.NET CODE
Protected Sub Page_Load(sender As Object, e As EventArgs)
 If Not Page.IsPostBack Then
  gvDetails.DataSource = BindGridView()
  gvDetails.DataBind()
 End If
End Sub
Private Function BindGridView() As DataTable
 Dim dtGrid As New DataTable()
 Dim con As New SqlConnection(ConfigurationManager.ConnectionStrings("ConnectionString").ConnectionString)
 Dim strSelect As String = "SELECT FirstName,LastName,Location FROM Details"
 Dim cmd As New SqlCommand(strSelect, con)
 Dim dAdapter As New SqlDataAdapter(cmd)
 dAdapter.Fill(dtGrid)
 Return dtGrid
End Function
Create Public Property of SortDirection type and store direction in ViewState.
C# CODE
public SortDirection dir
    {
        get
        {
            if (ViewState["dirState"] == null)
            {
                ViewState["dirState"] = SortDirection.Ascending;
            }
            return (SortDirection)ViewState["dirState"];
        }
        set
        {
            ViewState["dirState"] = value;
        }
    }
VB.NET CODE
Public Property dir() As SortDirection
 Get
  If ViewState("dirState") Is Nothing Then
   ViewState("dirState") = SortDirection.Ascending
  End If
  Return DirectCast(ViewState("dirState"), SortDirection)
 End Get
 Set
  ViewState("dirState") = value
 End Set
End Property
Check Gridview's current direction from ViewState and set new sort direction in Sorting Event.
C# CODE
protected void gvDetails_Sorting(object sender, GridViewSortEventArgs e)
    {
        string sortingDirection = string.Empty;
        if (dir == SortDirection.Ascending)
        {
            dir = SortDirection.Descending;
            sortingDirection = "Desc";
        }
        else
        {
            dir = SortDirection.Ascending;
            sortingDirection = "Asc";
        }
        
        DataView sortedView = new DataView(BindGridView());
        sortedView.Sort = e.SortExpression + " " + sortingDirection;
        gvDetails.DataSource = sortedView;
        gvDetails.DataBind();
    }
VB.NET CODE
Protected Sub gvDetails_Sorting(sender As Object, e As GridViewSortEventArgs)
 Dim sortingDirection As String = String.Empty
 If dir = SortDirection.Ascending Then
  dir = SortDirection.Descending
  sortingDirection = "Desc"
 Else
  dir = SortDirection.Ascending
  sortingDirection = "Asc"
 End If
 Dim sortedView As New DataView(BindGridView())
 sortedView.Sort = Convert.ToString(e.SortExpression) & " " & sortingDirection
 gvDetails.DataSource = sortedView
 gvDetails.DataBind()
End Sub