In the view menu select open in expression blend.  You can download a trial of expression blend 2 here

 http://www.microsoft.com/downloads/details.aspx?FamilyId=5FF08106-B9F4-43CD-ABAD-4CC9D9C208D7&displaylang=en

In blend right click on the datagrid and select Edit Control Parts (Template)  ---> Edit a copy.  This will add a copy of all the datagrid styles for you to edit.  You can use blend or visual studio to customize the datagrid.