When you write your SQL SELECT query you specify the header text (assuming you use a DataTable or DataSet as the DataSource):
SELECT A, B, C FROM MyTable
Will give you a DGV like this:
A B C
1 2 3
4 5 6
When you want specific text, you use AS:
SELECT A AS [Column number one], B AS [Charles XII], C AS Hello FROM MyTable
And you will get the headers:
Column number one Charles XII Hello
1 2 3
4 5 6