You can add a section to the <asp:DataGrid> as follows:
<HeaderStyle Font-Bold="True" HorizontalAlign="Center" VerticalAlign="Top" BackColor="SaddleBrown" ForeColor="Ivory" />
Or you can set the style in column templates like this:
<asp:BoundColumn HeaderText="Account Number" DataField="AccountNumber" ReadOnly="True" HeaderStyle-Font-Bold="True" HeaderStyle-HorizontalAlign="Center" ItemStyle-HorizontalAlign="Left"></asp:BoundColumn>
I think you would be better off with the second approach. I am having problems with some styles of the <HeaderStyle> tag that do not apply when they are only under the <asp:DataGrid> .
If you want to transfer the same style to other DataGrids, you can create a skin so that the header style is the same everywhere.
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