Hi YacharuP,
You can refer below script for disabling the first column sorting for your gridview
jQuery
<script type="text/javascript" src="https://cdnjs.cloudflare.com/ajax/libs/jquery/1.8.3/jquery.min.js"></script>
<link rel="stylesheet" type="text/css" href="https://cdn.datatables.net/v/dt/dt-1.10.13/datatables.min.css" />
<script type="text/javascript" src="https://cdn.datatables.net/v/dt/dt-1.10.13/datatables.min.js"></script>
<script type="text/javascript">
$(function () {
$('[id*=YourGridViewId]').prepend($("<thead></thead>").append($(this).find("tr:first"))).DataTable({
'aoColumnDefs': [{
'bSortable': false,
'aTargets': [0] /* index of the column which you want to disable */
}]
});
});
</script>