Some of the things that were giving me problems.

First I tried to create a New DataGridColumn Style.
You cannot do this. What you do is create a New DataGridTextBoxColumn()

I also tried to add a New GridColumnStylesCollection.
You cannot do this. And the way you add to the collection is NOT
GridColumnStylesCollection.Add(), but
DataGridTableStyle.GridColumnStyles.Add()

Also, as I said before, you need to set the DataGridTextBoxColumn to New for
every column you create.

And last but not least, you need to set the TableStyle().MappingName to ""
before setting the DataGrid.DataSource and then set the
TableStyle().MappingName back to the TableName.

Hope this information is useful!