DataGridView Multiple Column Sorting

I'm trying to sort multple colums in the DataGridView which is unbound. I would prefer to sort by using a DataTable/DataView but for some reason another developer in my team experienced other problems relating to sorting so he abandoned using the DataTable to fill the grid :(

Here is the senario: I want the user to be able to choose which columns they want sort on. The way I envisaged was to show a form with a listbox, a grid and 3 buttons (Add to sort, Remove from sort and Apply Sort).

The list box would be populated from the parent form grid column headings.
The grid will show the columns and sort direction.
Button 1 would add the selected item of the list box to the grid.
Button 2 would remove from the grid the selected row.
Button 3 would Apply the Sort in the order of the grid and the columns SortDirection.

Now I looked at How to: Customize Sorting in the Windows Forms DataGridView Control using the IComparer [URL]

how I can use the IComparer to sort on multiple columns that a user has specified or another way to sort on multiple columns using unbound data.