You can use similar code for DataGrid:
protected void Grid1_ItemCreated(object sender, DataGridItemEventArgs e)
{
if (e.Item.ItemType == ListItemType.Header)
{
DataGrid grid = sender as DataGrid;
DataGridItem dgi = new DataGridItem(0, e.Item.DataSetIndex, ListItemType.Header);
dgi.Cells.Add(new TableCell { ColumnSpan = 2, Text = "Name" });
dgi.Cells.Add(new TableCell { ColumnSpan = 2, Text = "Date" });
Table t = grid.Controls[0] as Table;
t.Rows.AddAt(0, dgi);
}
}