Below is a sample. You can select columns in a GridControl or GridDataBoundGrid by default. Just drag a GridControl onto your form and run the application. Or, just drag a GridDataBoundGrid onto your form, set its datasource, and then run the application. Then in both cases, you should be able to click a column header and select a column.
Another property you should check is if you have the GridControllerOptions.DragColumnHeader flag set in the grid.ControllerOptions property. If so, then clicking a column header will allow you to drag the column, but will not select it.
WindowsApplication97.zip