DataTable tbl = new DataTable();
      //从数据库得到数据。

       DataTable gridDataSource = new DataTable();
       foreach(DataRow row in tbl.Rows)
      {
        DataColumn col = new DataColumn((string) row["yewu"]);
        gridDataSource.Columns.Add(col);
      }

      DataGridView grid = new DataGridView();
      grid.DataSource = gridDataSource;

------解决方案--------------------
 SqlCommand cmd = new SqlCommand("select yewu from table where id=1", cn);
           SqlDataReader dr = cmd.ExecuteReader();

           ArrayList list = new ArrayList();

           while (dr.Read())
           {
               list.Add(dr.GetString(0));
           }

           dataGridView1.ColumnCount = list.Count;
           for (int i = 0; i < list.Count;i++ )
           {
               dataGridView1.Columns[i].HeaderText = list[i].ToString();
           }