Here you go:
PHP Code:
DataTable tblData = (DataTable)dataGrid1.DataSource;
DataGridTableStyle tsMyStyle = new DataGridTableStyle();
tsMyStyle.MappingName = "MyTable"; //MappingName should match the name of the table
DataGridColumnStyle TextCol = new DataGridTextBoxColumn();
TextCol.MappingName = "Column1"; //MappingName should match the name of the column
TextCol.HeaderText = "New Name of the Column";
TextCol.Width = 125;
tsMyStyle.GridColumnStyles.Add(TextCol);
TextCol = new DataGridTextBoxColumn();
TextCol.MappingName = "Column2"; //MappingName should match the name of the column
TextCol.HeaderText = "Column2"; //leave the same name
TextCol.Width = 50;
tsMyStyle.GridColumnStyles.Add(TextCol);
dataGrid1.TableStyles.Add (tsMyStyle);