Yashkamal,
I don't think there is any way to accomplish with the grid header proper.
If you grid doesn't need horizontal scrolling or column resizing/moving you could easily use a set of labels over a headerless grid.
If your grid doesn't need vertical scrolling you could use the first row of the cursor along with dynamic BackColor to make the cells look like the header.
>I am sorry for not phrasing my question properly. What I am looking for is to hide the separator (line between two header) of column header. My grid has no lines (GridLines = 0), but the header is still separated. I would like no lines between the column headers.