If you have created a dataset from a datacomnnection and dataadapter dropped on a form, then code such as listed below should allow you to get at the columnstyles where you can set up properties like columnwidth and headertext.
Private Sub Form1_Load(ByVal sender As System.Object, ByVal e As System.EventArgs) Handles MyBase.Load
'add a datasource to the grid
Me.DataGrid1.DataSource = Nothing
SqlDataAdapter1.Fill(Me.DataSet11, "FAQEntries")
Me.DataGrid1.DataSource = Me.DataSet11.Tables("FAQEntries")
'create a tablestyle based on the current contents
Dim myCurrencyManager As CurrencyManager
myCurrencyManager = CType(BindingContext(Me.DataSet11, "FAQEntries"), CurrencyManager)
Dim ts As DataGridTableStyle
ts = New DataGridTableStyle(myCurrencyManager)
'add the tablestyle to grid
DataGrid1.TableStyles.Add(ts)
'modify particular columnstyles in the tablestyle
ts.GridColumnStyles(1).Alignment = HorizontalAlignment.Right
ts.GridColumnStyles(2).Width = 30
ts.GridColumnStyles(4).HeaderText = "test"
End Sub