On datagridview header click textbox should display

You can achieve this easily like

private void dataGridView1_Paint(object sender, PaintEventArgs e)
{
int columnIndex = 1;
Point headerCellLocation = this.dataGridView1.GetCellDisplayRectangle(columnIndex, -1, true).Location;
//Place the TextBox in the Location of the Header Cell.
TextBox txtBox = new TextBox();
txtBox.Location = new Point(headerCellLocation.X + 100, headerCellLocation.Y);
txtBox.Width = 100;
txtBox.TextChanged += new EventHandler(TextBox_Changed);
dataGridView1.Controls.Add(txtBox);
dataGridView1.Columns[1].Width = 200;
columnIndex = 2;
so on......
}

Adjust Point as you wish i am aligning next to column just to demonstrate