I haven't done that in C# in a while, but in VB it would be something like this (if I remember right the C# method is pretty close)
Dim gridCheck As New DataGridViewCheckBoxColumn
With gridCheck
.HeaderText = ""
.Name = "gridCheck"
.Width = 30
.HeaderCell.Style.Alignment = DataGridViewContentAlignment.MiddleCenter
End With
dgvWhatEver.Columns.Insert(0, gridCheck)