<DataGrid x:Class="WpfApplication1.IDG"
             xmlns="http://schemas.microsoft.com/winfx/2006/xaml/presentation"
             xmlns:x="http://schemas.microsoft.com/winfx/2006/xaml"
             xmlns:mc="http://schemas.openxmlformats.org/markup-compatibility/" & _
               "006" 
             xmlns:d="http://schemas.microsoft.com/expression/blend/2008" 
             mc:Ignorable="d" 
             d:DesignHeight="300" d:DesignWidth="300"
             AutoGeneratingColumn="DataGrid_AutoGeneratingColumn"
             AutoGeneratedColumns="DataGrid_AutoGeneratedColumns" 
             Loaded="DataGrid_Loaded"
             LoadingRow="DataGrid_LoadingRow"
          >
</DataGrid>

using System;
using System.Collections.Generic;
using System.Linq;
using System.Text;
using System.Windows;
using System.Windows.Controls;
using System.Windows.Data;
using System.Windows.Documents;
using System.Windows.Input;
using System.Windows.Media;
using System.Windows.Media.Imaging;
using System.Windows.Navigation;
using System.Windows.Shapes;
 
namespace WpfApplication1
{
    /// <summary>
    /// Interaktionslogik für IDG.xaml
    /// </summary>
    public partial class IDG : DataGrid
    {
        public IDG()
        {
 
        }
 
        private void DataGrid_AutoGeneratingColumn(object sender, _
          DataGridAutoGeneratingColumnEventArgs e)
        {
            MessageBox.Show(e.Column.Header.ToString());
        }
 
        private void DataGrid_AutoGeneratedColumns(object sender, EventArgs e)
        {
 
        }
 
        private void DataGrid_Loaded(object sender, RoutedEventArgs e)
        {
 
        }
 
        private void DataGrid_LoadingRow(object sender, DataGridRowEventArgs e)
        {
 
        }
    }
}

 private void DataGrid_AutoGeneratedColumns(object sender, EventArgs e)
        {
            foreach (DataGridColumn item in this.Columns)
            {
                menuItem = new MenuItem();
                menuItem.Header = item.Header;
                menuItem.IsChecked = true;
                cxMenu.Items.Add(menuItem);
                menuItem.Click += new RoutedEventHandler(menuItem_Click);
                menuItem.Checked += new RoutedEventHandler(menuItem_Checked);
                menuItem.Unchecked += new RoutedEventHandler( _
                  menuItem_Unchecked);
            }
        }