ASP.Net 4.0 added the boolean ShowHeaderWhenEmpty
property.
http://msdn.microsoft.com/en-us/library/system.web.ui.webcontrols.gridview.showheaderwhenempty.aspx
<asp:GridView runat="server" ID="GridView1" ShowHeaderWhenEmpty="true" AutoGenerateColumns="false">
<Columns>
<asp:BoundField HeaderText="First Name" DataField="FirstName" />
<asp:BoundField HeaderText="Last Name" DataField="LastName" />
</Columns>
</asp:GridView>
Note: the headers will not appear unless DataBind() is called with something other than null.
GridView1.DataSource = New List(Of String)
GridView1.DataBind()