>I need to add programmatically columns in a grid, also add for each column some code in its header click event. How to do that?
BINDEVENT() and the in the method check the column:

thisform.Grid1.ColumnsCount = thisform.Grid1.ColumnsCount+1
WITH thisform.Grid1.Columns(thisform.Grid1.ColumnsCount)
     .Name = [Something]
     ....
     BINDEVENT(.Header1,[Click], thisform,[ClickHeader])
ENDWITH


* ClickHeader Method

AEVENTS(laEvent,0)
IF laEvent[1,1].Parent.Name == [Something] && That is our column
    WAIT WINDOW {Hurray]
ENDIF