uses
  Winapi.CommCtrl;

var
  Header: HWND;
  Item: THDItem;
begin
  Header := ListView_GetHeader(ListView1.Handle);
  ZeroMemory(@Item,SizeOf(Item));
  Item.Mask := HDI_FORMAT;
  Header_GetItem(Header,Item);
  Item.fmt := Item.fmt and not (HDF_SORTUP or HDF_SORTDOWN);//remove both flags
  Item.fmt := Item.fmt or HDF_SORTUP;//include the sort ascending flag
  Header_SetItem(Header,Item);
end;

为简单起见,我省略了错误检查.如果你想要相反方向的箭头,我相信你可以找出如何交换逻辑.

关键MSDN主题是HDITEM结构的主题.