Alias

protected void Page_Load(object sender, EventArgs e)
    {
        if (ConnectionState.Closed == cn.State)
        {
            cn.Open();
        }

        //string strFName = "FirstName";
        //SqlDataAdapter da = new SqlDataAdapter("select * from student order by " + strFName, cn);

        SqlCommand cmd = new SqlCommand("Select * from student", cn);
        SqlDataReader dr = cmd.ExecuteReader();

        List<student> lstStudent = new List<student>();
        while (dr.Read())
        {
            student oStud = new student();
            oStud.StudentID = int.Parse(dr[0].ToString());
            oStud.FirstName = dr[1].ToString();
            oStud.LastName = dr[2].ToString();

            lstStudent.Add(oStud);
        }

        //string fname= "n.FirstName";
        var dt = (from n in lstStudent select new { StudID = n.StudentID, StudFirstName = n.FirstName, n.LastName, Roll = "" });
        //lstStudent.OrderBy(x =>  x.FirstName).ToList();

        //SqlDataAdapter da = new SqlDataAdapter("select * from student", cn);
        //DataTable dt = new DataTable();
        //da.Fill(dt);

        GridView1.DataSource = dt;
        GridView1.DataBind();

     
    }
}