If you have frozen columns the header menu works incorrectly.
Also the freezing columns will not work if the browser is detected in compatibility mode.
The images I am providing go with the following grid setup…
gridMain = new dhtmlXGridObject('entryGridLD');
gridMain.setImagePath(imgPath);
gridMain.enableContextMenu(gridContext);
gridMain.init();
gridMain.attachEvent("onBeforeContextMenu", contextMenuOpen);
gridMain.attachEvent("onCheck", gridCheckChange);
gridMain.attachEvent("onEditCell", gridCellEdited);
gridMain.setSkin('dhx_skyblue');
if (browserMode != 'Compat Mode' && browserMode != 'undefined') gridMain.splitAt(3);
gridMain.loadXML(xml, function () {
gridMain.enableHeaderMenu();
});