You want the header to have a hover, or the text in the header?
The text in the header has the following class:
Giving the caption a :hover doens't seem to do the trick. There will be a hover class for the tablehead in the next Mendix version. Thank you for the feedback.
Mendix is using a variety of different styles within the theme. So the only way to find out which style is changing the look of the datagrid is sometimes very difficult. But try it with firebug (FF) or Developer toolbar (IE). Try to hover the datagrid header and look with style are applied on the div an tables of the datagrid. Search and you will find. This will also apply for your other post
simple adding a style definition for .mendixDataGridtableHead:hover might work as well. Note that you are not restricted to existing selectors in the CSS stylesheets, you can define arbitrary ones.