How to create a grouped column with the Data Grid?

I have been researching this for the last few days, what I want to do is create a column group with the DataGrid with the group displaying in the header and sorting / footer still working for each of the grouped columns. 

Is there anyway to accomplish this with the DataGrid? Can you help point me in the right direction?

Thanks,

Joshua

For example:

/-----------------------------------------\  |          |      Average      |   Red    |  |          |-------------------|  eyes    |  |          |  height |  weight |          |  |-----------------------------------------|  |  Males   | 1.9     | 0.003   |   40%    |  |-----------------------------------------|  | Females  | 1.7     | 0.002   |   43%    |  \-----------------------------------------/

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