On http://msdn2.microsoft.com/en-us/library/aa479300.aspx Dino Esposito shows us how to implement a Caption template for the GridView control. However he uses a regular tr element, not the caption element. Here is how you can implement a real Caption Template for the GridView control.
using System;
using System.Collections;
using System.Web.UI;
using System.ComponentModel;
using System.Web.UI.WebControls;
public class MyGridView : GridView { [...]
