According to the msdn (http://msdn.microsoft.com/en-us/library/wdzcaz7k.aspx) documentation you should use the constructor with 2 string, columnName and headerText. So it could be:

Code:
  public void FillBrandMaster(){
            foreach (Brand _brand in _brands)
                dataGridView1.Columns.Add(_brand.BrandID.ToString() ,_brand.Name).ToString();                

        }