In Flex 3 sorting is controlled by the collections rather than the controls. This provides greater flexibility overall despite making it hard to adjust to. To get or set a sort on the DataGrid in Flex 3, use the sort property of its dataProvider:
You can both read and write to the sort property. When you write to it, you have to call refresh() after for it to apply. Refer to the documentation on the ListCollectionView class for how to properly get and set its sort property.