<asp:GridView ID="GVdata" runat="server" AllowPaging="True" AllowSorting="True" AutoGenerateColumns="False" >
<Columns>
<asp:TemplateField SortExpression="Subnet" HeaderText="Subnet">
<HeaderTemplate>
<asp:Label ID="SubnetHeader" ToolTip="My Tip to you" runat="server" Text="Label"></asp:Label>
</HeaderTemplate>
<ItemTemplate >
<asp:Label ID="lblSubnet" runat="server" Text='<%# Bind("ID") %>' ></asp:Label>
</ItemTemplate>
</asp:TemplateField>
<Columns>
</asp:GridView >
or
GridView1.Columns(index).HeaderText = "My Header Text"