There is no property setting that will handle this.
One way to get this behavior is to use 2 grids, a headergrid and the main grid. You could have a Panel and docked the headergrid to the top and just let it have the 3 headers and no other rows. Then you could dock-fill the main grid and hiding its header row. You can then handle some event to tie the two grid togerther so scrolling is synced up and column sizes are synced up. Attached is a little sample.
PanelWithTwoGrids.zip