The column header of the DataGrid is not a FrameWork element for some reason, and so you cannot use bindings to set things like the header text. Please correct me if that is
I know this post is old, but when I looked up how to do this, this is the first entry that came up. I did not like this answer because it seemed like overkill. After more searching, I ran across this link the showed how to do this in the markup, using a template column.