>But my .ColumnCount property is initially -1 T.K. I don't know how many columns i will have, I do everything on a fly and I don't know how to create method on a fly for each column.header?

You have choice: either create header class and rebuild all column.headers from this class, or (prferable, IMO) you can have grid with max possible number of columns and set column.visible=.f. for rightmost ones.