Firstly, if you're using or would like to use .NET 2.0, I would highly
suggest you use the DataGridView control.  You'll save yourself a lot
of headaches if you stay far, far away from the DataGrid control.

If that's not an option, though, you'll have to create a new
DataGridTableStyle.  For every column, even the ones that you don't
want to rename the headers for, you must create a
DataGridTextBoxColumn, set up your desired style elements, and then add
that column to the DataGridTableStyle's GridColumnStyles collection.
Finally, you add that DataGridTableStyle you created to your DataGrid's
TableStyles collection.

Thusly:

private FormatGrid()
    //dg is our datagrid
    //colWidthOffset = 4

    Graphics g = Graphics.FromHwnd(dg.Handle);

    //customize columns
    DataGridTableStyle ts = new DataGridTableStyle();
    ts.MappingName = "DataBindingNameGoesHere";

    DataGridTextBoxColumn station = new DataGridTextBoxColumn();
    station.MappingName = DataLayer.eOrderDataCols.station.ToString();
    station.HeaderText = "Station";
    station.Alignment = HorizontalAlignment.Center;
    station.Width =
Convert.ToInt32(Math.Ceiling(g.MeasureString(station.HeaderText.ToString(),
dg.Font).Width) + colWidthOffset);
    station.ReadOnly = true;

    ts.GridColumnStyles.Add(station);

    dg.TableStyles.Add(ts);
}

This will show a grid with one column with "Station" in its header,
even though the name of the column in the bound object is "station".

If you want more columns, you've got to create more
DataGridTextBoxColumns and add them to the ts.GridColumnStyles
collection.  You don't absolutely have to set all those properties I
did, but they help.

---Andy