You can handle the DataGrid's DoubleClick event, and use the HitTest method to test if the double-click was on a column header.

using System;
using System.Drawing;
using System.Windows.Forms;

private DataGrid dataGrid1;

// ...
dataGrid1.DoubleClick += new EventHandler( dataGrid1_DoubleClick );
// ...

private void dataGrid1_DoubleClick( object sender, EventArgs e )
{
  Point point = dataGrid1.PointToClient( Cursor.Position );
  DataGrid.HitTestInfo hti = dataGrid1.HitTest( point );
  if ( hti.Type == DataGrid.HitTestType.ColumnHeader )
  {
    // process column header double-click...
    string message = string.Format( "Column {0} header double-clicked",
      hti.Column.ToString() );
    MessageBox.Show( message );
  }
}

Contributed from George Shepherd's Windows Forms FAQ