I for the light of me can't find any info about changing the column header caption. I'm sure it's easy. Anyone has any idea?
Take a look at the following help article:
<http://help.infragistics.com/Help/NetAdvantage/WPF/2007.2/CLR3.X/html/xamDataGrid_Customizing_a_Field.html>
It contains a small example of how to customize a Field, including changing the Field caption by setting the Label property.