Here is the code to get the Header Name from Datagridview Mouse Down event
private void Datagridview1_MouseDown(object sender, MouseEventArgs e)
{
MessageBox.Show("Column Name : " + this.Datagridview1.Columns[Datagridview1.HitTest(e.X, e.Y).ColumnIndex].Name);
MessageBox.Show("Column Name : " + this.Datagridview1.Columns[Datagridview1.HitTest(e.X, e.Y).ColumnIndex].HeaderText);
}