Hi Try this sample..
columnIndex
: column which you want to change the name
<%@ Page Language="C#" AutoEventWireup="true" CodeBehind="WebForm1.aspx.cs" Inherits="WebApplication1.WebForm1" %>
<!DOCTYPE html>
<html xmlns="http://www.w3.org/1999/xhtml">
<head runat="server">
<title></title>
<script src="jquery.js.js"></script>
<script type="text/javascript">
var changeheader = function (columnIndex) {
var grid = document.getElementById('<%= gv.ClientID %>');
var headerCell = grid.rows[0].cells[columnIndex];
headerCell.innerText = 'changed value';
debugger;
}
</script>
</head>
<body>
<form id="form1" runat="server">
<asp:Button ID="btnSearch" Text="search" runat="server" OnClientClick="changeheader(0); return false;" />
<br />
<asp:GridView ID="gv" AutoGenerateColumns="false" runat="server">
<Columns>
<asp:TemplateField>
<ItemTemplate>
<asp:Label ID="Label4" runat="server" Text='<%# Eval("name")%>'>
</asp:Label>
</ItemTemplate>
<HeaderTemplate>
Header Name
</HeaderTemplate>
</asp:TemplateField>
</Columns>
</asp:GridView>
</form>
</body>
</html>