To change just the one header cell you need to select the column you want from the DataGridView columns collection.
dataGridView1.Columns(0).HeaderCell.Style.Alignment = DataGridViewContentAlignment.BottomCenter;
dataGridView1.Columns("ColumnName").HeaderCell.Style.Alignment = DataGridViewContentAlignment.BottomCenter;
I've shown two examples - one using the column index in the columns collection, the other using the name given to the column.
Each column in the DataGridView then has a HeaderCell property, with a Style.Alignment that can be set with a value from the DataGridViewContentAlignment enum.
One additional thing to note is that these alignments are affected by the sorting glyph in the column. If the alignment does not appear how you expect, the code below can sometimes resolve the issue by removing the sorting glyph.
dataGridView1.Columns(0).SortMode = DataGridViewColumnSortMode.NotSortable;