Ohh, you need so called drag select for column headers.
iGrid was designed without this requirement, but maybe a workaround can be implemented using the current set of events and methods. For instance, we can protect a column header from clicking, but can start to trace the mouse pointer on mouse down and select the required columns as the user is moving it. You can try, but in fact it's not an easy task.
Another option could be to have own "header". I mean you can hide the standard header and implement your own one using the frozen row. An example of that can be found in the demo of iGrid.