Sure.
You said you would like to use the Click() event. Be aware that the Click event will fire if the columns are rearranged or resized with the header.

Check out the DEFINE CLASS command in the help docs.
Here's an example, though.

** in PRG named "mycls.prg"
DEFINE CLASS myheader AS header

 PROCEDURE Click()
   * e.g., make this header bold and the rest not bold
   this.parent.parent.SetAll("FontBold", .F., "myheader")
   this.FontBold = .T.
 ENDPROC

ENDDEF

In your code to the create the grid:

SET PROCEDURE TO mycls.prg ADDITIVE
this.oGrid.ColumnCount = 2
FOR EACH loCol In this.oGrid
  loCol.RemoveObject("Header1") && default name of the header
  loCol.AddObject("MyHeader1", "myheader")
ENDFOR