How can I merge the headertext of a gridview

How can I merge the headertext of a gridview

I have got 5 columns
Column A - Name
Column B - Age
Column C - Choice 1
Column D - Choice 2
Column E - Choice 3

I would like to merge Column C - D to let it read 'Choices of Lecturers' instead of Choice 1/2/3.

Can I know where am i supposed to do the code in like 'Page_Load' and how do I code it?

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