Here is a very simple way to make context menu appear where you right-click it.

Handle the event ColumnHeaderMouseClick

private void grid_ColumnHeaderMouseClick(object sender, DataGridViewCellMouseEventArgs e) 
{
  if (e.Button == System.Windows.Forms.MouseButtons.Right)
    contextMenuHeader.Show(Cursor.Position);
}

contextMenuHeader is a ContextMenuStrip that can be defined in the Designer view or at runtime.