Asp.net - Gridview Header With Sort-icon?

I am binding a data set to a GridView in VB .net. I have some custom sorting setup, and want to display an icon next to the header if one of my 3 options is selected.

I've read a lot of methods in doing this, and I see Gridviews even have a ASC and DESC header style I can associate with the view. I have 2 problems with this, though:I am sorting a List with linq on Sort Trigger, then binding it to the datagrid.
The reason I do it this way, is I want to maintain multiple sort levels, ordering by 3 columns rather than 1.

Edit for clarity Specifically what I want to do is loop through the value of a GridView's Header text, see if it matches what I have saved in viewstate, and if so add an image for that header in particular. Something essentially like below, however headerRow.Cells(y).Text is always returning "", even when the header has text:

Sub gvPatronData_RowCreated(ByVal sender As Object, ByVal e As GridViewRowEventArgs)
Dim savedSortDirection(), savedSortColumn() As String
Dim headerRow As GridViewRow = gvPatronData.HeaderRow

[code]....