You can define the 'id' property for the cells of column header and then change its style. Please look at the code below:
$('#dg').datagrid({
  columns:[[
    {id:'id1',field:'f1',title:'title1',width:100},
    {id:'id2',field:'f2',title:'title1',width:100}
  ]]
});
$('#id1').css('background-color','#ccc')