You really should not be using CDO 1.21 from C# or any other .NET language.
Neither CDO nor Extended MAPI is supported in .NET code at all and while it
may work most of the time things will fail, usually at a client site and no
one will be able to support you at all.

// toAdd = x-header to add to mail item.
// ID = MailItem.EntryID, item must be saved to have an ID.
// StoreID is the EntryID of the Store where the item is located. Use
item.Parent.StoreID to get it.
private void AddHeader(string toAdd, string ID, string StoreID)
{
   // see http://support.microsoft.com/kb/195656 for how to convert
   //    a MAPI tag to a CDO tag
   const string propSet = "8603020000000000C000000000000046";

   MAPI.Session cdo = new MAPI.Session;
   cdo.Logon "", "", false, false, missing, missing, missing;
   MAPI.Message item = (MAPI.Message)cdo.GetMessage(ID, StoreID);
   MAPI.Fields fields = (MAPI.Fields)item.Fields;
   MAPI.Field header = fields.Add("MyHeader", 8, toAdd, propSet);
   item.Update(true, true);
}

After that, since Outlook doesn't really know about changes made to an item
outside of its scope you should do something like this to make it aware of
the change:

   Outlook.MailItem mail.Subject = mail.Subject;
   mail.Save;