Sorry for the delay...

You can customize the headers using BeforeTimeHeaderRender event.

The first row (group header) can be detected using e.IsColGroup property and the content can be set using e.InnerHTML property.

Excellent.. You saved me today! Great product Dan..

Example for others..

protected void DayPilotScheduler1_BeforeTimeHeaderRender(object sender, DayPilot.Web.Ui.Events.BeforeTimeHeaderRenderEventArgs e)
{
if (e.IsColGroup)
{
e.InnerHTML = "Week " + BizLogic.GetWMWeek(e.Start, true) + " ("+e.Start.ToString("MMMM yyyy") + ")"; // sets the group header
}

}