you should have to use template to do any modification like this
<asp:gridview id="gvExpences" runat="server" xmlns:asp="#unknown">
<columns>
<asp:templatefield>
<HeaderTemplate>
<span style="color:red;">Actual</span><span style="color:black;"> Cost per entry</span>
</HeaderTemplate>
<itemtemplate>
<asp:label id="lblCost" runat="server" text="<%#Bind("Cost")%>"></asp:label>
</itemtemplate>
</asp:templatefield>
<asp:templatefield>
<HeaderTemplate>
<span style="color:red;">Entry</span><span style="color:black;"> Time</span>
</HeaderTemplate>
<itemtemplate>
<asp:label id="lblCost" runat="server" text="<%#Bind("EntryTime")%>"></asp:label>
</itemtemplate>
</asp:templatefield>
</columns>
</asp:gridview>