If you work with visual studio designer, you will probably have defined fields for each columns in the YourForm.Designer.cs file e.g.:
private System.Windows.Forms.DataGridViewCheckBoxColumn dataGridViewCheckBoxColumn1;
private System.Windows.Forms.DataGridViewTextBoxColumn dataGridViewTextBoxColumn2;
If you give them useful names, you can set the HeaderText easily:
usefulNameForDataGridViewTextBoxColumn.HeaderText = "Useful Header Text";