The Column parameter has a Grid property which references to the DBGrid where the column resides.
If you using FPC 3.2 or newer, the property IndexFieldNames of the underlying dataset can used for sorting (ascending and descending), simply assign a string with the columnfieldnames (separated with semicolons). For descending sorting append a ' DESC' to the individual fieldname (leading space is important). This only sorts the dataset, the sort arrow of the column title has to determined in the manner shown in the wiki example (assigning an imagelist to the grid and set the property Column.Title.ImageIndex accordingly).
HTH