I finally found an example and applied it successfully.
I enclose my code here if someone else needs it.
This is the region I added to my collection class:

#Region " Provide sorting capability to BindingList "

       Private m_SortProperty As PropertyDescriptor = Nothing
       Private m_SortDirection As ListSortDirection =
ListSortDirection.Ascending
       Private m_IsSorted As Boolean
       Private m_OriginalCollection As List(Of Customer) = New List(Of
Customer)

       Protected Overrides ReadOnly Property SupportsSortingCore() As Boolean
           Get
               Return True
           End Get
       End Property

       Protected Overrides ReadOnly Property IsSortedCore() As Boolean
           Get
               Return m_IsSorted
           End Get
       End Property

       Protected Overrides ReadOnly Property SortDirectionCore() As
ListSortDirection
           Get
               Return m_SortDirection
           End Get
       End Property

       Protected Overrides ReadOnly Property SortPropertyCore() As
PropertyDescriptor
           Get
               Return m_SortProperty
           End Get
       End Property

       Protected Overrides Sub ApplySortCore(ByVal prop As
PropertyDescriptor, ByVal direction As ListSortDirection)
           m_SortDirection = direction
           m_SortProperty = prop

           'Store the original order of the collection
           If (m_OriginalCollection.Count = 0) Then
               m_OriginalCollection.AddRange(Me)
           End If

           Dim listRef As List(Of Customer) = DirectCast(Me.Items, List(Of
Customer))
           If IsNothing(listRef) Then Return

           'Let List(Of Customer) do the actual sorting based on your
comparer
           Dim comparer As SortComparer(Of Customer) = New SortComparer(Of
Customer)(prop, direction)
           listRef.Sort(comparer)
           m_IsSorted = True
           OnListChanged(New ListChangedEventArgs(ListChangedType.Reset, -1))
       End Sub

       Public Shadows Sub RemoveSortCore()
           If m_IsSorted Then
               Me.Clear()

               For Each item As Customer In m_OriginalCollection
                   Me.Add(item)
               Next

               m_OriginalCollection.Clear()
               m_SortProperty = Nothing
               m_IsSorted = False
           End If
       End Sub

       Class SortComparer(Of Customer)
           Implements IComparer(Of Customer)

           Private m_PropDesc As PropertyDescriptor
           Private m_Direction As ListSortDirection

           Public Sub New(ByVal propDesc As PropertyDescriptor, ByVal
direction As ListSortDirection)
               m_PropDesc = propDesc
               m_Direction = direction
           End Sub

           Public Function Compare(ByVal x As Customer, ByVal y As
Customer) As Integer Implements IComparer(Of Customer).Compare
               Dim xValue As Object = m_PropDesc.GetValue(x)
               Dim yValue As Object = m_PropDesc.GetValue(y)
               Return CompareValues(xValue, yValue, m_Direction)
           End Function

           Private Function CompareValues(ByVal xValue As Object, ByVal
yValue As Object, ByVal direction As ListSortDirection) As Integer
               Dim retValue As Integer

               If (TypeOf xValue Is IComparable) Then
                   retValue = DirectCast(xValue,
IComparable).CompareTo(yValue)
               ElseIf (TypeOf yValue Is IComparable) Then
                   retValue = DirectCast(yValue,
IComparable).CompareTo(xValue)
               ElseIf xValue.Equals(yValue) Then
                   retValue = 0
               Else
                   retValue = xValue.ToString().CompareTo(yValue.ToString())
               End If

               If (direction = ListSortDirection.Ascending) Then
                   Return retValue
               Else
                   Return retValue * -1
               End If
           End Function
       End Class

#End Region