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they have all that functionality built in (in memory sorting of the dataset)
http://www.tmssoftware.com/site/gridpack.asp
http://www.devexpress.com/Products/VCL/ExQuantumGrid/
there may be some work defining the grid/views/columns to get everything to work
and there is the possibility that your users like those grids very much
making them ask you to implement them everywhere :)