How to Select All CheckBox of a Column by DataGrid Header CheckBox in WPF DataGrid

Convert your Candidate class into something like this:

public class Candidate : DependencyObject
{
    //CandidateID Dependency Property
    public int CandidateID
    {
        get { return (int)GetValue(CandidateIDProperty); }
        set { SetValue(CandidateIDProperty, value); }
    }
    public static readonly DependencyProperty CandidateIDProperty =
        DependencyProperty.Register("CandidateID", typeof(int), typeof(Candidate), new UIPropertyMetadata(0));
    //RegisterNo Dependency Property
    public int RegisterNo
    {
        get { return (int)GetValue(RegisterNoProperty); }
        set { SetValue(RegisterNoProperty, value); }
    }
    public static readonly DependencyProperty RegisterNoProperty =
        DependencyProperty.Register("RegisterNo", typeof(int), typeof(Candidate), new UIPropertyMetadata(0));
    //CandidateName Dependency Property
    public string CandidateName
    {
        get { return (string)GetValue(CandidateNameProperty); }
        set { SetValue(CandidateNameProperty, value); }
    }
    public static readonly DependencyProperty CandidateNameProperty =
        DependencyProperty.Register("CandidateName", typeof(string), typeof(Candidate), new UIPropertyMetadata(""));
    //BooleanFlag Dependency Property
    public bool BooleanFlag
    {
        get { return (bool)GetValue(BooleanFlagProperty); }
        set { SetValue(BooleanFlagProperty, value); }
    }
    public static readonly DependencyProperty BooleanFlagProperty =
        DependencyProperty.Register("BooleanFlag", typeof(bool), typeof(Candidate), new UIPropertyMetadata(false));
}

in MainWindow.xaml:

<DataGrid ItemsSource="{Binding CandidateList}">
    <DataGrid.Columns>
        <DataGridTextColumn Header="Id" Binding="{Binding CandidateID}"/>
        <DataGridTextColumn Header="RegNr" Binding="{Binding RegisterNo}"/>
        <DataGridTextColumn Header="Name" Binding="{Binding CandidateName}"/>
        <DataGridTemplateColumn>
            <DataGridTemplateColumn.Header>
                <CheckBox Checked="CheckBox_Checked" Unchecked="CheckBox_Checked"></CheckBox>
            </DataGridTemplateColumn.Header>
            <DataGridTemplateColumn.CellTemplate >
                <DataTemplate>
                    <CheckBox IsChecked="{Binding BooleanFlag}"/>
                </DataTemplate>
            </DataGridTemplateColumn.CellTemplate>
        </DataGridTemplateColumn>
    </DataGrid.Columns>
</DataGrid>

in MainWindow.xaml.cs:

    public MainWindow()
    {
        DataContext = this;
        CandidateList.Add(new Candidate()
        {
            CandidateID = 1,
            CandidateName = "Jack",
            RegisterNo = 123,
            BooleanFlag = true
        });
        CandidateList.Add(new Candidate()
        {
            CandidateID = 2,
            CandidateName = "Jim",
            RegisterNo = 234,
            BooleanFlag = false
        });
        InitializeComponent();
    }
    //List Observable Collection
    private ObservableCollection<Candidate> _candidateList = new ObservableCollection<Candidate>();
    public ObservableCollection<Candidate> CandidateList { get { return _candidateList; } }
    private void CheckBox_Checked(object sender, RoutedEventArgs e)
    {
        foreach (var item in CandidateList)
        {
            item.BooleanFlag = true;
        }
    }
    private void UnheckBox_Checked(object sender, RoutedEventArgs e)
    {
        foreach (var item in CandidateList)
        {
            item.BooleanFlag = false;
        }
    }

Strictly speaking the model should not know about the view and so the solution proposed by blindmeis, where the model change is updating every row in the datagrid, breaks the MVVM/Presentation Design pattern. Remember that in MVVM the dependency flow is View -> ViewModel -> Model so if you are referencing controls in your view model (or control codebehind) then you have effectively broken the pattern and you will probably run into issues further down the track.