Checkbox in the header of a DataGridView in any column

try this

#region GridViewCheckBoxColumn


    [System.Drawing.ToolboxBitmap(typeof(System.Windows.Forms.DataGridViewCheckBoxColumn))]
    public class GridViewCheckBoxColumn : DataGridViewCheckBoxColumn
    {
        #region Constructor

        public GridViewCheckBoxColumn()
        {
            DatagridViewCheckBoxHeaderCell datagridViewCheckBoxHeaderCell = new DatagridViewCheckBoxHeaderCell();

            this.HeaderCell = datagridViewCheckBoxHeaderCell;
            this.Width = 50;

            //this.DataGridView.CellFormatting += new System.Windows.Forms.DataGridViewCellFormattingEventHandler(this.grvList_CellFormatting);
            datagridViewCheckBoxHeaderCell.OnCheckBoxClicked += new CheckBoxClickedHandler(datagridViewCheckBoxHeaderCell_OnCheckBoxClicked);

        }

        #endregion

        #region Methods

        void datagridViewCheckBoxHeaderCell_OnCheckBoxClicked(int columnIndex, bool state)
        {
            DataGridView.RefreshEdit();

            foreach (DataGridViewRow row in this.DataGridView.Rows)
            {
                if (!row.Cells[columnIndex].ReadOnly)
                {
                    row.Cells[columnIndex].Value = state;
                }
            }
            DataGridView.RefreshEdit();
        }



        #endregion
    }

    #endregion

    #region DatagridViewCheckBoxHeaderCell

    public delegate void CheckBoxClickedHandler(int columnIndex, bool state);
    public class DataGridViewCheckBoxHeaderCellEventArgs : EventArgs
    {
        bool _bChecked;
        public DataGridViewCheckBoxHeaderCellEventArgs(int columnIndex, bool bChecked)
        {
            _bChecked = bChecked;
        }
        public bool Checked
        {
            get { return _bChecked; }
        }
    }
    class DatagridViewCheckBoxHeaderCell : DataGridViewColumnHeaderCell
    {
        Point checkBoxLocation;
        Size checkBoxSize;
        bool _checked = false;
        Point _cellLocation = new Point();
        System.Windows.Forms.VisualStyles.CheckBoxState _cbState =
        System.Windows.Forms.VisualStyles.CheckBoxState.UncheckedNormal;
        public event CheckBoxClickedHandler OnCheckBoxClicked;

        public DatagridViewCheckBoxHeaderCell()
        {
        }

        protected override void Paint(System.Drawing.Graphics graphics,
        System.Drawing.Rectangle clipBounds,
        System.Drawing.Rectangle cellBounds,
        int rowIndex,
        DataGridViewElementStates dataGridViewElementState,
        object value,
        object formattedValue,
        string errorText,
        DataGridViewCellStyle cellStyle,
        DataGridViewAdvancedBorderStyle advancedBorderStyle,
        DataGridViewPaintParts paintParts)
        {
            base.Paint(graphics, clipBounds, cellBounds, rowIndex,
            dataGridViewElementState, value,
            formattedValue, errorText, cellStyle,
            advancedBorderStyle, paintParts);
            Point p = new Point();
            Size s = CheckBoxRenderer.GetGlyphSize(graphics,
            System.Windows.Forms.VisualStyles.CheckBoxState.UncheckedNormal);
            p.X = cellBounds.Location.X +
            (cellBounds.Width / 2) - (s.Width / 2);
            p.Y = cellBounds.Location.Y +
            (cellBounds.Height / 2) - (s.Height / 2);
            _cellLocation = cellBounds.Location;
            checkBoxLocation = p;
            checkBoxSize = s;
            if (_checked)
                _cbState = System.Windows.Forms.VisualStyles.
                CheckBoxState.CheckedNormal;
            else
                _cbState = System.Windows.Forms.VisualStyles.
                CheckBoxState.UncheckedNormal;
            CheckBoxRenderer.DrawCheckBox
            (graphics, checkBoxLocation, _cbState);
        }

        protected override void OnMouseClick(DataGridViewCellMouseEventArgs e)
        {
            Point p = new Point(e.X + _cellLocation.X, e.Y + _cellLocation.Y);
            if (p.X >= checkBoxLocation.X && p.X <=
            checkBoxLocation.X + checkBoxSize.Width
            && p.Y >= checkBoxLocation.Y && p.Y <=
            checkBoxLocation.Y + checkBoxSize.Height)
            {
                _checked = !_checked;
                if (OnCheckBoxClicked != null)
                {
                    OnCheckBoxClicked(e.ColumnIndex, _checked);
                    this.DataGridView.InvalidateCell(this);
                }
            }
            base.OnMouseClick(e);
        }

    }

    #endregion

    #region ColumnSelection

    class DataGridViewColumnSelector
    {
        // the DataGridView to which the DataGridViewColumnSelector is attached
        private DataGridView mDataGridView = null;
        // a CheckedListBox containing the column header text and checkboxes
        private CheckedListBox mCheckedListBox;
        // a ToolStripDropDown object used to show the popup
        private ToolStripDropDown mPopup;

        /// <summary>
        /// The max height of the popup
        /// </summary>
        public int MaxHeight = 300;
        /// <summary>
        /// The width of the popup
        /// </summary>
        public int Width = 200;

        /// <summary>
        /// Gets or sets the DataGridView to which the DataGridViewColumnSelector is attached
        /// </summary>
        public DataGridView DataGridView
        {
            get { return mDataGridView; }
            set
            {
                // If any, remove handler from current DataGridView 
                if (mDataGridView != null) mDataGridView.CellMouseClick -= new DataGridViewCellMouseEventHandler(mDataGridView_CellMouseClick);
                // Set the new DataGridView
                mDataGridView = value;
                // Attach CellMouseClick handler to DataGridView
                if (mDataGridView != null) mDataGridView.CellMouseClick += new DataGridViewCellMouseEventHandler(mDataGridView_CellMouseClick);
            }
        }

        // When user right-clicks the cell origin, it clears and fill the CheckedListBox with
        // columns header text. Then it shows the popup. 
        // In this way the CheckedListBox items are always refreshed to reflect changes occurred in 
        // DataGridView columns (column additions or name changes and so on).
        void mDataGridView_CellMouseClick(object sender, DataGridViewCellMouseEventArgs e)
        {
            if (e.Button == MouseButtons.Right && e.RowIndex == -1 && e.ColumnIndex == 0)
            {
                mCheckedListBox.Items.Clear();
                foreach (DataGridViewColumn c in mDataGridView.Columns)
                {
                    mCheckedListBox.Items.Add(c.HeaderText, c.Visible);
                }                
                int PreferredHeight = (mCheckedListBox.Items.Count * 16) + 7;
                mCheckedListBox.Height = (PreferredHeight < MaxHeight) ? PreferredHeight : MaxHeight;
                mCheckedListBox.Width = this.Width;
                mPopup.Show(mDataGridView.PointToScreen(new Point(e.X, e.Y)));
            }
        }

        // The constructor creates an instance of CheckedListBox and ToolStripDropDown.
        // the CheckedListBox is hosted by ToolStripControlHost, which in turn is
        // added to ToolStripDropDown.
        public DataGridViewColumnSelector()
        {
            mCheckedListBox = new CheckedListBox();
            mCheckedListBox.CheckOnClick = true;
            mCheckedListBox.ItemCheck += new ItemCheckEventHandler(mCheckedListBox_ItemCheck);

            ToolStripControlHost mControlHost = new ToolStripControlHost(mCheckedListBox);
            mControlHost.Padding = Padding.Empty;
            mControlHost.Margin = Padding.Empty;
            mControlHost.AutoSize = false;

            mPopup = new ToolStripDropDown();
            mPopup.Padding = Padding.Empty;
            mPopup.Items.Add(mControlHost);
        }

        public DataGridViewColumnSelector(DataGridView dgv)
            : this()
        {
            this.DataGridView = dgv;
        }

        // When user checks / unchecks a checkbox, the related column visibility is 
        // switched.
        void mCheckedListBox_ItemCheck(object sender, ItemCheckEventArgs e)
        {
            mDataGridView.Columns[e.Index].Visible = (e.NewValue == CheckState.Checked);
        }
    }

    #endregion

This solution works for me, it adds the checkbox to the header cell. You just have to implement the "check all" method and eventually a "on column resize" method (for replace checkbox in the center)

// Creating checkbox without panel
CheckBox checkbox = new CheckBox();
checkbox.Size = new System.Drawing.Size(15, 15);
checkbox.BackColor = Color.Transparent;

// Reset properties
checkbox.Padding = new Padding(0);
checkbox.Margin = new Padding(0);
checkbox.Text = "";

// Add checkbox to datagrid cell
myDataGrid.Controls.Add(checkbox);
DataGridViewHeaderCell header = myDataGrid.Columns[myColumnWithCheckboxes.Index].HeaderCell;
checkbox.Location = new Point(
    header.ContentBounds.Left + (header.ContentBounds.Right - header.ContentBounds.Left + checkbox.Size.Width) / 2,
    header.ContentBounds.Top + (header.ContentBounds.Bottom - header.ContentBounds.Top + checkbox.Size.Height) / 2
);

The Answer of 56ka is perfekt for me. I just fix the location (2px)

    private CheckBox ColumnCheckbox(DataGridView dataGridView)
    {
        CheckBox checkBox = new CheckBox();
        checkBox.Size = new Size(15, 15);
        checkBox.BackColor = Color.Transparent;

        // Reset properties
        checkBox.Padding = new Padding(0);
        checkBox.Margin = new Padding(0);
        checkBox.Text = "";

        // Add checkbox to datagrid cell
        dataGridView.Controls.Add(checkBox);
        DataGridViewHeaderCell header = dataGridView.Columns[0].HeaderCell;
        checkBox.Location = new Point(
            (header.ContentBounds.Left +
             (header.ContentBounds.Right - header.ContentBounds.Left + checkBox.Size.Width)
             /2) - 2,
            (header.ContentBounds.Top +
             (header.ContentBounds.Bottom - header.ContentBounds.Top + checkBox.Size.Height)
             /2) - 2);
        return checkBox;
    }