That sample, as you can see from the title, involves using RowLayouts.  While you could certainly create a RowLayout at run-time, you would find it far easier to setup at design-time.  If you want to see what the code looks like for seting up that layout, you can look at the InitializeComponent code in the sample, but it is generally a little tedious to read, due to all the explicit settings of OriginX, OriginY, SpanX, and SpanY.  As for the column headers, I assume that you're referring to the "Personal Info" and "Address Info" headers; I believe that these are actually unbound columns that have their RowLayoutColumnInfo.LabelPosition set to LabelsOnly.  It may help you in learning about RowLayouts to open up the grid designer for the RowLayout sample and play around with the settings.

-Matt