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Farzana Iqbal, 25, was killed by a group of attackers, including her father, on Tuesday because she had married the man she loved and prompted the anger of her family.
An investigation into the case showed that her husband had earlier killed his first wife, a source in Sharif's administration said.
A statement from Sharif's office described Iqbal's death as a "brutal killing" and said it was "totally unacceptable".
"I am directing the chief minister to take immediate action and a report must be submitted by this evening to my office," it quoted Sharif as saying.
Her husband said that police did nothing during the 15 minutes the violence lasted outside Lahore High Court.
"I begged them to help us but they said, this is not our duty," Muhammed Iqbal told Reuters. "I took off my shirt (to be humble) and begged them to save her."
Later a source in Sharif's administration quoted a Lahore police report as saying that Iqbal had killed his first wife.
"The person, Iqbal, who she had married ... had actually killed his own wife in an earlier case and remained a proclaimed offender. He was later arrested and was released on bail. Not a pristine character," the source told Reuters.
The husband was not immediately available for comment.
In parts of Pakistan, a largely Muslim nation of 180 million people, women are expected to agree to arranged marriages and refusal can mean an "honour killing".
Many Pakistani families think it dishonourable for a woman to fall in love and choose her own husband.
The case drew condemnations from around the world.
"I do not even wish to use the phrase honour killing," said UN High Commissioner for Human Rights Navi Pillay in a statement in Geneva. "There is not the faintest vestige of honour in killing a woman in this way."
Baroness Sayeeda Warsi, a senior minister of state in the British government and of Pakistani origin, said she was appalled by the killing. "Perpetrators must be brought to justice," she said.
The Human Rights Commission of Pakistan said 869 such attacks were reported in the media last year - several a day. But the true figure is probably much higher since many cases are never reported.
Lahore police chief Shafiq Ahmad said no police were present at the scene.
"They arrested the father, the main accused, a few moments after the incident," he said. "... by the time police reached the scene, the lady had been murdered."
Police initially said Farzana had been stoned, but Iqbal told Reuters that relatives had swung bricks, not thrown them.
All the suspects, except the father, who has been detained, have disappeared. A police officer on Tuesday quoted the father as saying it had been an honour killing.
The 25-year-old had offended her family by marrying Iqbal instead of a cousin selected for her.
In Pakistan, reaction has been muted - in stark contrast to the public grief and outrage caused by the gang rape and murder of a 23-year-old woman in neighbouring India in 2012.
In the capital Islamabad, about 40 activists protested against brutality against women, shouting "Hang the killers of Farzana!" and "We don't accept this injustice".
"Violence against women is on the rise. Women are being killed in the name of honour," said Farzana Bari, an activist.
"This particular incident was very brutal. Police were there and the poor woman was killed."
"DON'T KILL ME"
Muhammad Aurangzeb, Farzana's 20-year-old stepson, described how one relative had tried to shoot her, then grabbed her head scarf, causing her to fall over.
While a member of Iqbal's party wrestled the gun away, a female cousin grabbed a brick and hit Farzana with it, he said.
"She was screaming and crying 'don't kill me, we will give you money'," said Iqbal. He said he tried to save her but the mob of more than 20 beat him back.
At one point, six people were beating her with bricks as she screamed, he said, and he and his stepson begged police to help.
Finally she stopped screaming.
The attack happened near the gate of the heavily guarded court, the two men said, on one of the busiest roads in Lahore.
The couple had been due to testify there that morning that their marriage was genuine in response to a false charge of kidnapping brought by Farzana's family.
"She was afraid of being killed," said her lawyer, Rai Ghulan Mustafa.