<DataTemplate x:Key="HeaderTemplate">
    <TextBlock />
</DataTemplate>

GridViewColumn column = new GridViewColumn();
column.Header = new TextBlock { Text = "my header" };
MyGridView.Columns.Add(column);

<DataTemplate x:Key="HeaderTemplate">
    <TextBlock Text="{Binding}" />
</DataTemplate>

GridViewColumn column = new GridViewColumn();
column.Header = "my header";
MyGridView.Columns.Add(column);

<DataTemplate x:Key="HeaderTemplate">
    <TextBlock Text="{Binding}" Background="Red" />
</DataTemplate>