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Grid link in header

Dear Team,

I have the latest Grid Component and I'm trying to add a link(or button) in a header of a column (not really a column, but in the header). I tried the answers of the related topics in this Knowledge Base, but nothing seems to work.

Here's a piece of my code:
...
mygrid1.setHeader(",Sender,Subject,Date,#master_checkbox,<a href='#' onclick='deleteMessage()'>Delete</a>");
mygrid1.setInitWidths("30,130,130,70,70,70")
mygrid1.setColAlign("center,left,left,right,center,center")
mygrid1.setColSorting("na,server,server,date,na,na");
mygrid1.setColTypes("sub_row,ro,ro,ro,ch,ro");
...

When I use the above code nothing shows at all (no grid even) but I don't get any error messages from my browser (IE7).
I also tested it with ...,<a>Delete</a>");...Still nothing.

Could you please help me?

With regards,
D. Koper

The code of setHeader command is correct, the issue may be caused by some other logic - please check attached sample, it uses the same code.