HeaderCell=newTableCell();HeaderCell.Text="Employee";HeaderCell.ColumnSpan=2;HeaderGridRow.Cells.Add(HeaderCell);
please check out the link for more information:
How to add Header and Subheader in Gridview
How to create multiple row header and merge it with other columns in GridView
http://www.dotnettwitter.com/2010/12/how-to-create-multiple-row-header-and.html