Tim,
You can't put a header (or Page, Column, OptionButton) classes in a classlib. You have to leave it in the .prg and SET PROCEDURE TO MyHeaderClass.prg ADDITIVE before you try to use it the first time. You can put the code into a method of your grid class.
>Thanks for the post! my test.prg now displays a grid with click-able headers. Now, tell me how to store and use the new class that I have created. How do I create a class library from a procedure file (.PRG)? and how do I reference the class from within a form? Sorry for asking what must be an elementary question but I can't seem to find the answer in the doc's...