If you derive the GridDataBoundGrid, you can override OnCellDoubleClick and avoid the sort at that point.
public class MyGridDataBoundGrid : GridDataBoundGrid
{
protected override void OnCellDoubleClick(GridCellClickEventArgs e)
{
if(e.ColIndex == 3 && e.RowIndex == 0)
return;
base.OnCellDoubleClick(e);
}
}