Look at e.Button.

Example:

using System;
using System.Collections.Generic;
using System.Linq;
using System.Windows.Forms;
using System.ComponentModel;

class Foo
{
   public string Name { get; set; }
   public DateTime DateOfBirth { get; set; }
}
static class Program
{
   [STAThread]
   static void Main()
   {
       Application.EnableVisualStyles();
       var list = new BindingList<Foo> {
           new Foo { Name = "Fred", DateOfBirth = DateTime.Now }
       };
       using (DataGridView grid = new DataGridView
       {
           Dock = DockStyle.Fill,
           DataSource = list
       })
       using (Form f = new Form {
           Controls = {grid}
       }) {
           grid.ColumnHeaderMouseClick += (sender, args) =>
           {
               f.Text = string.Format("Column {1}, Pressed: {0}",
args.Button, grid.Columns[args.ColumnIndex].DataPropertyName);
           };
           Application.Run(f);
       }
   }
}