>I have a grid on my form and in the Init code of the form I programmatically add a few more columns to the grid using AddColumn() and then change several of the properties of the newly added column. I also need to add some code to the DblClick() Event of the Header of the newly added columns, but I can't figure out how to do this.
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>I know this has to be something simple that I'm overlooking ...

You have to define a header class in code and add that class at runtime. Check out my article here on the subject "A smarter grid".