Need Clarification on MFC UI

You can set the column width when you insert it using InsertColumn, or resize it subsequently using SetColumnWidth.

You can add icons for the sort indicators something like this:

//m_SortIcons is a CImageList member variable of the dialog
    {
        /* Initialise the image list for the sort icons */
        m_SortIcons.Create( 8, 8, ILC_MASK, 2, 2 );
        HICON hIco1;
        hIco1 = static_cast<HICON>( LoadImage( AfxGetInstanceHandle(), MAKEINTRESOURCE( IDI_UP ), IMAGE_ICON, 0, 0, LR_DEFAULTCOLOR ) );
        m_SortIcons.Add( hIco1 );
        hIco1 = static_cast<HICON>( LoadImage( AfxGetInstanceHandle(), MAKEINTRESOURCE( IDI_DOWN ), IMAGE_ICON, 0, 0, LR_DEFAULTCOLOR ) );
        m_SortIcons.Add( hIco1 );

        m_List.GetHeaderCtrl()->SetImageList( &m_SortIcons );
    }

You can specify an image (list item) when you insert the item.