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;