create a new datatable and bind your datagrid to this table, for example
DataTable tblOld;
//...get the data into tblOld
DataTable tblNew = new DataTable();
for (int i=0; i <= tblOld.Rows.Count; i++) //one extra column for column names
tblNew.Columns.Add("col"+i.ToString(), typeof(string));
foreach (DataColumn dc in tblOld.Columns)
{
int i=0;
DataRow drNew = tblNew.NewRow();
drNew[i++] = dc.ColumnName;
foreach (DataRow drOld in tblOld.Rows)
drNew[i++] = drOld[dc];