Process 1 : 
 protected void gvUser_Sorting(object sender, GridViewSortEventArgs e)
        {

            string search = txtSearch.Text.Trim();
            string SortExp = e.SortExpression;
           
           
            List<Common.TblUser> oList = UserBLL.GetUserList();
            if (txtSearch.Text != "")
            {
                string text = txtSearch.Text.ToUpper();
                oList = oList.FindAll(m => m.FullName.ToUpper().Contains(text) || m.RoleName.ToUpper().Contains(text) || m.UserName.ToUpper().Contains(text) || m.ExternalID.ToUpper().Contains(text)).ToList();
            }

            System.Reflection.PropertyInfo property = oList.GetType().GetGenericArguments()[0].GetProperty(SortExp);
            if (e.SortDirection == SortDirection.Ascending)
            {
                oList = oList.OrderBy(g => property.GetValue(g, null)).ToList<Common.TblUser>();
            }
            else
            {
              oList =  oList.OrderByDescending(g => property.GetValue(g, null)).ToList<Common.TblUser>();
            }

            this.gvUser.DataSource = oList;
            this.gvUser.DataBind();

        }

Process 2
Using Object Datasource


  <asp:GridView ID="GVUserList" runat="server" AutoGenerateColumns="False"
                        DataSourceID="odsGrid" AllowPaging="True" AllowSorting="True"
 DataKeyNames="CBTID" >
                        <Columns>
                            <asp:BoundField DataField="BTName" HeaderText="BTName" SortExpression="BTName" />
                        </Columns>
                        <EmptyDataTemplate>
                            <table style="width:100%;">
                                <tr>
                                    <th>No Record Added</th>
                                </tr>
                            </table>
                        </EmptyDataTemplate>
                    </asp:GridView>

<asp:ObjectDataSource ID="odsGrid" runat="server" OldValuesParameterFormatString="original_{0}"
                        SelectMethod="SelectAllForGrid" TypeName="WellFood.Business.Managers.BrandTypeManager"
                        SortParameterName="Sortby">
                        <SelectParameters>
                            <asp:Parameter Name="SearchExpression" Type="String" />
                        </SelectParameters>
                    </asp:ObjectDataSource>




[DataObjectMethod(DataObjectMethodType.Select)]
        public List<BrandType> SelectAllForGrid(string SearchExpression, string Sortby)
        {
            if (string.IsNullOrEmpty(Sortby))
                Sortby = "PrdID";

            Query = @"SELECT ROW_NUMBER() OVER(ORDER BY   " + Sortby + @" ) as RowNum,
                    CBTID ,BTID ,BTName ,PrdID ,
                    PrdName ,GroupID ,GroupName ,FloorID ,VATPrcnt ,DiscPrcnt
                    FROM [BrandType]
                    order by RowNum";
            oR = sQLDal.Select(Query);
            List<BrandType> oList = new List<BrandType>();
            if (oR.ResultState && oR.Data.Rows.Count > 0)
            {
                oList = DataTableToClass.DataTableToList<BrandType>(oR.Data);
                return oList;
            }
            else return null;
        }