Components for Delphi and C++ Builder.

procedure TForm1.DBGridEh1ContextPopup(Sender: TObject; MousePos: TPoint;
  var Handled: Boolean);
var
  GridCoord: TGridCoord;
  Column: TColumnEh;
begin
  GridCoord := DBGridEh1.MouseCoord(MousePos.X, MousePos.Y);
  if (GridCoord.X >= 1) and (GridCoord.Y >= 0) then
  begin
    Column := DBGridEh1.Columns[GridCoord.X - 1];
    Menu21.Caption := Column.Title.Caption;
  end;
end;

DBGridEh1.SelectedIndex := Column.Index + 1;