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Use the DataGridColumn.HeaderImageUrl property to specify the URL of an image to display in the header section of the column. You can use a relative or an absolute URL. A relative URL relates the location of the image to the location of the Web page without specifying a complete path on the server. The path is relative to the location of the Web page. This makes it easier to move the entire site to another directory on the server without updating the path to the image in code. An absolute URL provides the complete path, so moving the site to another directory requires updating the code.
If you want to display text instead of an image in the header section of the column, set the DataGridColumn.HeaderText property instead of this property.