Header On TemplateField In GridView

<asp:GridView ID="CustomersGridView" runat="server" AutoGenerateColumns="False" >
    <Columns>

        <asp:TemplateField HeaderText="Full Name">
            <ItemTemplate>
            <asp:HyperLink ID="HyperLink1" runat="server" Text='<%# Eval("FirstName") + " " + Eval("LastName")  %>'
                 NavigateUrl="CarTest.aspx" > </asp:HyperLink>        
            </ItemTemplate>
        </asp:TemplateField>

    </Columns>
</asp:GridView>

Use the header template:

 <Columns>
    <asp:TemplateField>
          <ItemTemplate>
               ....................
          </ItemTemplate>
          <HeaderTemplate>
                Full Name
         </HeaderTemplate>
     </asp:TemplateField>
  </Columns>

For more information, read.