The following example demonstrates how to group the data items by the ShipCountry and ShipCity columns.  

XAML
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<Grid xmlns:xcdg="http://schemas.xceed.com/wpf/xaml/datagrid">

  <Grid.Resources>

    <xcdg:DataGridCollectionViewSource x:Key="cvs_orders"

                                    Source="{Binding Source={x:Static Application.Current},

                                                      Path=Orders}">       

     <xcdg:DataGridCollectionViewSource.GroupDescriptions>         

       <xcdg:DataGridGroupDescription PropertyName="ShipCountry"/>

       <xcdg:DataGridGroupDescription PropertyName="ShipCity"/>

     </xcdg:DataGridCollectionViewSource.GroupDescriptions>

    </xcdg:DataGridCollectionViewSource>

  </Grid.Resources>

   

  <xcdg:DataGridControl x:Name="OrdersGrid"

                        ItemsSource="{Binding Source={StaticResource cvs_orders}}">     

  </xcdg:DataGridControl>

</Grid>
VB.NET
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Dim collectionView As New DataGridCollectionView( Orders )

collectionView.GroupDescriptions.Add( New DataGridGroupDescription( "ShipCountry" ) )

collectionView.GroupDescriptions.Add( New DataGridGroupDescription( "ShipCity" ) )

dataGridControl.ItemsSource = collectionView
C#
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DataGridCollectionView collectionView = new DataGridCollectionView( Orders );

collectionView.GroupDescriptions.Add( new DataGridGroupDescription( "ShipCountry" ) );

collectionView.GroupDescriptions.Add( new DataGridGroupDescription( "ShipCity" ) );

dataGridControl.ItemsSource = collectionView;