Ah! That makes a bit more sense!
Set an individual Cell colour:
myDataGridView[col, row].Style.BackColor = Color.Red;
To set the header background colour:
myDataGridView.EnableHeadersVisualStyles = false;
myDataGridView.Columns[col].HeaderCell.Style.BackColor = Color.Green;
Setting
EnableHeadersVisualStyles
to false will cause other changes which you will have to override manually - you will see what I mean when you set it - it's up to you whether it is worth the effort! Basically, in order to change the colour, you have to take display control away and do it all yourself...