<telerik:RadGrid ID="rgScenarioRollUps" AllowMultiRowSelection="True" AllowPaging="False" AllowSorting="False" Width="100px" AutoGenerateColumns="false" runat="server" Skin="">
    <HeaderStyle CssClass="propGridHeader" />
    <AlternatingItemStyle CssClass="propDarkGrid" />
    <ItemStyle CssClass="propLightGrid" />
    <SelectedItemStyle CssClass="propSelected" />

GridView1.ColumnHeadersDefaultCellStyle.BackColor = Color.Purple;

protected void radGrid_ItemDatabound(object sender, GridItemDataBoundEventArgs e)
{
    if (e.Item is GridHeaderItem)
    {
        var item = e.Item as GridHeaderItem;
        item.BackColor = Color.Green;
    }
}

<telerik:RadGrid ID="radGrid" runat="server" OnItemDataBound="radGrid_ItemDatabound">
[...]
</telerik:RadGrid>