Ok,
you really should do this when selecting the data originally however if this is not achieveable you can use the following
Solution 1 - Better solution causes less overhead and lets SQL provider/server do the work.
Dim strSQL as string = "SELECT * FROM TravelData ORDER BY DepartureDate ASC, ArrivalDate ASC"
Solution 2:
Private Sub GrabData()
Dim ReturnedDataSet As New DataSet
Dim tmpDataView As New DataView(ReturnedDataSet.Tables(0)) With {.Sort = "DepartureDate ASC, ArriveDate ASC"}
ReturnedDataSet.Tables.Remove(0) : ReturnedDataSet.Tables.Add(tmpDataView.ToTable)
MyDataGrid.DataSource = ReturnedDataSet
MyDataGrid.DataBind()
End Sub