DataGridView: Column Header with 2 lines

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I want to create columns in my DataGridView just like that:

______________________________________
|________________Taxes________________|
|_______Tax 1_______|______Tax 2______|
| 3,50 | 4,50 |
| 6,60 | 4,22 |


But how do I make column headers with 2 levels, and merge the first
row?

Thanks.

.