TMyStringGrid = class(TStringGrid)
  private
    FColumnHeader: TStrings;
    procedure SetColumnHeader(Value: TStrings);
    procedure FillHeader;
  protected
    procedure Loaded; override;
  public
    constructor Create(AOwner: TComponent); override;
    destructor Destroy; override;
  published
    property ColumnHeader: TStrings read FColumnHeader write SetColumnHeader;
  end;

constructor TMyStringGrid.Create(AOwner: TComponent);
begin
    inherited create(AOwner);
    FColumnHeader := TStringList.Create;
end;

destructor TMyStringGrid.Destroy;
begin
    FColumnHeader.Free;
    inherited destroy;
end;

procedure TMyStringGrid.SetColumnHeader(Value: TStrings);

begin
    FColumnHeader.Assign(Value);
    FillHeader;
end;

procedure TMyStringGrid.Loaded;
begin
  inherited Loaded;
  FillHeader;
end;

procedure TMyStringGrid.FillHeader;
var
    iCol: integer;
begin


    for iCol := 0 to ColCount - 1 do

        if iCol < FColumnHeader.Count then
            Cells[iCol,0] := FColumnHeader[iCol]
        else
            Cells[iCol,0] := '';
end;