Hey, Einar,
Just to follow up on what Vlad responded with - you should be able to accomplish this with the Winforms datagrid. (This was posted in the Winforms area, so I assume you're talking about the Winforms grid...if not, then you can ignore this message).
But if it is for the winforms grid, tip #13 from my dataGrid article in CoDe shows how to save grid columns widths to an XML settings file. You can grab the column widths from a grid's tablestyle...
myGrid.TableStyles[0].GridColumnStyles[nColumnNumber].Width;
Hope this helps...
Kevin