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
@mmichtch's answer works well for me, you just have to create a local namespace(xmlns), which contains reference to your project as follows:
xmlns:local="clr-namespace:your_project_name"
and along with it don't forget to mention the property you want to bind:
it works well with VS 2010 and .net version 4.