I have fixed it this way, for the combo boxes I have used this piece of code :
<DataGrid.ColumnHeaderStyle>
<Style TargetType="{x:Type DataGridColumnHeader}">
<EventSetter Event="Click" Handler="ColumnHeaderClick" />
<Setter Property="ContentTemplate">
<Setter.Value>
<DataTemplate>
<ComboBox ItemsSource="{Binding DataContext.ArticleAttributes, Source={x:Reference control}}">
<l:Interaction.Triggers>
<l:EventTrigger EventName="SelectionChanged">
<l:InvokeCommandAction Command="{Binding DataContext.ArticleAttributeCommand, Source={x:Reference control}}" CommandParameter="{Binding RelativeSource={RelativeSource FindAncestor, AncestorType={x:Type ComboBox}}, Path=SelectedItem}" />
</l:EventTrigger>
</l:Interaction.Triggers>
</ComboBox>
</DataTemplate>
</Setter.Value>
</Setter>
</Style>
</DataGrid.ColumnHeaderStyle>
And for getting the column number this way :
<EventSetter Event="Click" Handler="ColumnHeaderClick" />
As it has been mentioned above.