Я сделал вот так:

Protected Sub grdFormValues_RowDataBound(ByVal sender As Object, ByVal e As GridViewRowEventArgs)        
    If e.Row.RowType = DataControlRowType.Header Then
        Dim dt = CType(grdFormValues.DataSource, DataTable)
        For i As Integer = 0 To dt.Columns.Count - 1
            e.Row.Cells(i).Text = dt.Columns(i).Caption
        Next
    End If
End Sub