One way you can do this is to add an extra header row, and then handle PrepareViewStyleInfo and set the text there for this new header row.
//add the row
this.grid.Rows.HeaderCount = 1;
this.grid.Rows.FrozenCount = 1;
//the event handler
private void PrepareViewStyleInfo(object sender, GridPrepareViewStyleInfoEventArgs e)
{
if(e.ColIndex > 0 && e.RowIndex == 1)
{
e.Style.Text = GridRangeInfo.GetAlphaLabel(e.COlIndex);
}
}