On Gridview row created event you have to write like this
protected void Gridview1_RowCreated(object sender, GridViewRowEventArgs e)
{
if (e.Row.RowType == DataControlRowType.Header)
{
GridView HeaderGrid = (GridView)sender;
GridViewRow HeaderGridRow = new GridViewRow(0, 0, DataControlRowType.Header, DataControlRowState.Insert);
TableCell HeaderCell = new TableCell();
HeaderCell.Text = "STEP1";
HeaderCell.ColumnSpan = 3;
HeaderGridRow.Cells.Add(HeaderCell);
HeaderCell = new TableCell();
HeaderCell.Text = "STEP2";
HeaderCell.ColumnSpan = 3;
HeaderGridRow.Cells.Add(HeaderCell);
HeaderCell = new TableCell();
HeaderCell.Text = "STEP3";
HeaderCell.ColumnSpan = 3;
HeaderGridRow.Cells.Add(HeaderCell);
Gridview1.Controls[0].Controls.AddAt(0, HeaderGridRow);
}
}