Like most people I have found the need to create a custom datasource that doesn't easily bind to a datagrid without some serious manipulation. I did some looking to see if I could find an article that did what I wanted and couldn't so ****this may not be the right way***. It is however _my_way_ which worked for me in my particular situation.

My requirements were that the user could request a quite large and complicated SQL query that takes about 20-25 seconds to work out and display. (Yes, its indexed and optimised...)
They could then sort the results on any of the column headers without having to rerun the query anytime throughout the day.
Some of the columns are computed columns that cannot be easily worked out in SQL (due to the nature of the query and the data sources) but the data only changes once an hour on the database so relevency wasn't an issue - neither (thankfully) was paging.

I've kind of recreated the scenario here using the PUBS database.

The code is set out below and I've commented it inline. Copy the HTML, Copy the CODE and then step through it, I explain whats happening inline as you go.
Basically, you grab a datareader

        Dim oSQL As New SqlClient.SqlCommand
        Dim oDR As SqlClient.SqlDataReader
        Dim oConn As New SqlClient.SqlConnection
        With oConn<BR>            ' TODO: Change the CONN String
            .ConnectionString = "Persist Security Info=False;Data Source=YOUR_DATABASE_SERVER;Initial Catalog=pubs;User ID=sa;Password=;"
            .Open()
        End With
        With oSQL
            .CommandText = "SELECT au_lname, au_fname, city,  LEFT(phone, 3) AS tel_code FROM authors WHERE state = 'CA'"
            .Connection = oConn
            .CommandTimeout = 60
            .CommandType = CommandType.Text
        End With
        ' Fill the datareader
        oDR = oSQL.ExecuteReader

and populate a datatable.

THis datatable is then added to the statebag

         viewstate.add("oTable", oTable)

The sorting is done by manipulation of the column headers, which in my instance are linkButton controls, by changing the CommandArgument and dealing with the logic within the buttonClick event.

    Property SortBy() As String
        Get
            SortBy = m_sSortBy
            If m_sSortBy Is Nothing Then
                SortBy = "Forename asc, Surname asc"
            End If
        End Get
        Set(ByVal Value As String)
            m_sSortBy = Value
        End Set
    End Property

...

   Private Sub lnkName_Click(ByVal sender As System.Object, ByVal e As System.EventArgs) Handles lnkName.Click
        Dim sSortDir$ = lnkName.CommandArgument
        If lnkName.CommandArgument = "DESC" Then
            'Set the sort by for the current requirements
            SortBy = "Forename DESC, Surname desc"
            'flip the command Argument
            lnkName.CommandArgument = "ASC"
        Else
            ' its the other way round
            SortBy = "Forename ASC, Surname ASC"
            lnkName.CommandArgument = "DESC"
        End If
        Sort_Table()
    End Sub

The custom caching is again dealt with in the statebag by storing a property and handling the logic in the postback events.

    Public Property LastRefresh() As Date
        Get
            If LastRefresh = Nothing Then
                LastRefresh = viewstate.Item("LastRefresh")
            Else
                LastRefresh = m_dLastRefresh
            End If
        End Get
        Set(ByVal Value As Date)
        End Set
    End Property