Add control to GridView's header cells

Hi Experts.

I am wondering is there a way to add a control (imageButton in my case) to the header cells of Gridview control

Here is what I am working at:
I need some sort of pivot like grid where user can dynamically add/remove columns.
I handled the addition part now I need some way to remove previously added columns.
I tried this way:

       For i As Integer = 3 To tpl.Matrix.Columns.Count - 1
            Dim colProduct As BoundField = New BoundField
            colProduct.DataField = tpl.Matrix.Columns(i).ColumnName

            colProduct.SortExpression = tpl.Matrix.Columns(i).ColumnName
            colProduct.HeaderText = tpl.Matrix.Columns(i).Caption
            colProduct.ReadOnly = False
            colProduct.HtmlEncode = False
            grdMatrix.Columns.Add(colProduct)
       
           'Add delete button
            Dim imgBtn As New ImageButton()
            With imgBtn
                .CommandName = "RemoveProduct"
                .CommandArgument = tpl.Matrix.Columns(i).ColumnName
                .OnClientClick = "return confirm('Are you sure you want to remove this product?');"
                .ImageUrl = "~/images/Delete.gif"
                .ID = "imgb_" & .CommandArgument
            End With

            grdMatrix.Row(0).Cells(i).Controls.Add(imgBtn) ' Error here - out of bound index

        Next


tpl.Matrix is datatable object with my data to display (retrieved from database)
I can build the grid without that imagebutton without problem

Any ideas what I am doing wrong?
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