Start by reading the docs for CGridView,
The constructor for it takes in an array specifying which columns to display (and whether to allow sort on them, etc) so allowing users to select which columns they want to see is almost trivial:
Display a form with checkboxes, the values of which are the names of the columns. When the user submits the form, loop over the checkboxes and add each of the present fields to the array that is passed to CGridView.
It is a little more complicated if you want to have specific settings for the column (i.e. a specific column header, or formatting) however not too much - in that case you just define an array holding the settings for it, and add that array to the total array you submit to CGridView.
Allowing drag and drop of the columns is a far more challenging enterprise, and may not actually be possible without a custom implementation - this is because CGridView is inherently just a table i.e. you could drag and drop rows easily (as they are whole items), but dragging a dropping a row is in reality dragging and dropping a lot of separate cells. However, there are jQuery examples that could get you started - and it wouldnt be a huge issue to implement a CGridView that uses divs instead of a table, and uses cells inside columns, rather than cells inside rows.
I hope that helps a little.