Frannk,
Thank you for screenshot. If I understand you correctly you want multi-row columns headers (with merging). Unfortunately, #Grid does not support built-in column header merging. However, you might be able to simulate it by using #Grid's Styles. You can find some samples in this forum thread:http://www.datadynamics.com/forums/45296/ShowPost.aspx.
Thank you,Andrey T.