Override the OnPaint event handler of the cell itself. This will require
creating an inherited cell class.

Hi Greg,

I recent discovered this same problem.  If you don't mind using
reflection to hack the DataGridViewCellPaintingEventArgs class a little
you can try my work around (in C#)...

Object[] args = new Object[12] ;

args[0] = e.Graphics;
args[1] = e.ClipBounds;
args[2] = headerRect;  // your modified rectangle, passed as the
                      // cellBounds
args[3] = e.RowIndex;
args[4] = e.ColumnIndex;
args[5] = e.State;
args[6] = e.Value;
args[7] = e.FormattedValue;
args[8] = e.ErrorText;
args[9] = e.CellStyle;
args[10] = e.AdvancedBorderStyle;
args[11] = e.PaintParts;

e.GetType().InvokeMember("SetProperties",
                         BindingFlags.Instance |
                         BindingFlags.InvokeMethod |
                         BindingFlags.NonPublic,
                         null, e, args);

HTHS