Do you want a second row of column header (and second column of row headers), or do you want to combine the desired text into a single header (maybe A-MyColumn 1, B-MyColumn2 etc).
If you want two header rows, then you can set
this.grid.Model.Rows.HeaderCount = 1;
this.grid,Model.Rows.FrozenCount = 1;
Then in aPrepareViewStyleInfo event handler, based on the value of e.ColIndex, you could explicitly set the e.Style.Text when e.RowIndex was 0 or 1. To convert e.ColIndex to a letter of the alphabet, you can call the static (Shared in VB) member GridRangeInfo.GetAlphaLabel method.
Here is a little sample to give you the flavor of the kinds of things you can do.
forum11507_4520.zip