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If you're talking about a Windows Control (as opposed to
Web Control), you need to instantiate a "TableStyle",
which contains a "ColumnStyles" collection. You add
members to the colection for each of the columns you want
to appear in your Grid. Once you've done that, you can
manipulate quite a few properties in both TableStyles and
the collection members for widths, fonts, colors,
borders, etc.

I hope this sample code will give you a basic model. It
uses DataGridTextBoxColumn objects, which is the
easiest. But you can derive your own classes to use as
ColumnStyles, as well.

Private Sub FillDocGrid(ByVal DocID As Integer)
OleDbSelectCommand2.CommandText=SelectDocsCmd &
DocID.ToString & "'"
DocumentsDA.Fill(TechLibDS, "Documents")

DocGrid.DataSource = TechLibDS
DocGrid.DataMember = "Documents"
Dim DocGridTS As New DataGridTableStyle()
DocGridTS.RowHeadersVisible = False
DocGridTS.MappingName = "TechLibDS.Documents"

' MappingName links DataTable columns to the
' ColumnStyles
Dim IDCS As New DataGridTextBoxColumn()
IDCS.MappingName = "ID"
IDCS.HeaderText = ""
IDCS.Width = 0
DocGridTS.GridColumnStyles.Add(IDCS)

Dim DocDateCS As New DataGridTextBoxColumn()
DocDateCS.MappingName = "DocDate"
DocDateCS.HeaderText = "Date"
DocDateCS.Width = 120
DocGridTS.GridColumnStyles.Add(DocDateCS)

Dim TitleCS As New DataGridTextBoxColumn()
TitleCS.MappingName = "Title"
TitleCS.HeaderText = "Document Title"
TitleCS.Width = 400
DocGridTS.GridColumnStyles.Add(TitleCS)

Dim DescCS As New DataGridTextBoxColumn()
DescCS.MappingName = "Description"
DescCS.HeaderText = "Document Descripition"
DescCS.Width = 800
DocGridTS.GridColumnStyles.Add(DescCS)

DocGrid.TableStyles.Clear()
DocGrid.TableStyles.Add(DocGridTS)
End Sub

HTH - there's more details in MSDN
Rich