DataGridView v;
v.Columns[0].SortMode = DataGridViewColumnSortMode.NotSortable;

...
DataGridView v;
v.ColumnAdded += new System.Windows.Forms.DataGridViewColumnEventHandler(this.dataGridViewColumnAdded);
...
private void dataGridViewColumnAdded(object sender, DataGridViewColumnEventArgs e)
{
  e.Column.SortMode = DataGridViewColumnSortMode.NotSortable;
}