|I'm 99% sure you can't do this. So, you have a few choices...
You could make a few comboboxes above the list control, and not use the header text?
Or you could detect that someone has clicked on the header control, and instead of sorting (default bahaviour), you could pop up a box instead?
For ideas on how to do that, have a look at my article: Generic Picker Dropdown Control[^] or the original inspiration for my article: Office 97 style Colour Picker control[^]
You won't be able to use them directly, but they will help you with the idea of positionaing a popup window next to another, in such a way as it looks like a combobox.
You have a thrid alternative of explaining to whoever is requiring this requirement that what they want is not easy, and are they sure they want to budget time / resources to this...
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