Finally I found the reference to the article Dino Esposito wrote recently.
It's in the last issue of ASPNet.Pro (november). Sadly the article online named Freeze the Header, Scroll the Grid
require a subscription, so I hope that Dino will be authorize to publish it in MSDN soon.
Without the permission to say more (copyright issues), it's about creating on the fly with a placeholder a table (the header) over the Datagrid.
He use a really nice trick to calculate the columns width ;-)