>I have done this before many time but somehow I am missing some little step that it does not work.
>
>Here is how I do it:
>
>I open Form Control Toolbar.
>I right-mouse click in the Grid and click on Edit. The Grid is now selected
>I click on the checkbox in the Form Control Toolbar.
>Then I click on the header of the column of the grid where I want to set this check box.
>
>But it does not happen. What am I missing?

Do not click on header.
Click somewhere in the column.
BUT open Properties sheet and check IF you didn't add checkbox already :-)