[AlexStukoff]

Например вот так:

<?xml version="1.0" encoding="utf-8"?>
<mx:Application xmlns:mx="http://www.adobe.com/2006/mxml"
    <mx:Script>
        <![CDATA[
            import mx.collections.Sort;
            import mx.collections.SortField;
 
            private function init():void {
                // Создаем сортировку по колонке  "idx"
                arrColl.sort = new Sort();
                arrColl.sort.fields = [new SortField("idx", false, true)];
                arrColl.refresh();
            }
        ]]>
    </mx:Script>
 
    <mx:DataGrid id="dataGrid"
            dataProvider="{arrColl}"
            creationComplete="init();">
        <mx:columns>
            <mx:DataGridColumn dataField="idx" />
            <mx:DataGridColumn dataField="c1" />
        </mx:columns>
    </mx:DataGrid>
 
</mx:Application>