Esta forma es mas sencilla:
Private Sub DataGrid1_HeadClick(ByVal ColIndex As Integer)
With Adodc1.Recordset
If (.Sort = .Fields(ColIndex).[Name] & " Asc") Then
.Sort = .Fields(ColIndex).[Name] & " Desc"
Else
.Sort = .Fields(ColIndex).[Name] & " Asc"
End If
End With
End Sub
Pruebalo...
