Target a common Style to all DataGridColumnHeaders:
<DataGrid.Resources>
<ContextMenu x:Key="DataGridColumnHeaderContextMenu" ...>
</ContextMenu>
<Style TargetType="{x:Type DataGridColumnHeader}">
<Setter Property="ContextMenu"
Value="{StaticResource DataGridColumnHeaderContextMenu}" />
</Style>
</DataGrid.Resources>
If you want different context menus for different column headers then use triggers:
<DataGrid.Resources>
<ContextMenu x:Key="ColumnHeaderContextMenu1" ...>
</ContextMenu>
<ContextMenu x:Key="ColumnHeaderContextMenu2" ...>
</ContextMenu>
<Style TargetType="{x:Type DataGridColumnHeader}">
<Style.Triggers>
<Trigger Property="Content" Value="Column1">
<Setter Property="ContextMenu"
Value="{StaticResource ColumnHeaderContextMenu1}" />
</Trigger>
<Trigger Property="Content" Value="Column2">
<Setter Property="ContextMenu"
Value="{StaticResource ColumnHeaderContextMenu2}" />
</Trigger>
</Style.Triggers>
</Style>
</DataGrid.Resources>
Hope that helps.
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