Jeff,

Use a header class. For example;

DEFINE CLASS MyHeader AS Header

PROCEDURE Click
 * Whatever code you want
ENDPROC
ENDDEFINE

Then in your grid construction code you can;

WITH This
   .AddObject("Column1","Column")
   WITH .Column1
      .RemoveObject("Header1")
      .AddObject("Header1","MyHeader")
   ENDWITH
ENDWITH

Of course your code would be a little more complex than this but it should get you going.