If I am interpreting your message correctly, you should create a Directory
type mail merge main document to which you attach the data source and in the
main document, insert a one row table with as many columns as there are
fields in the data source and enter the field names into the cells of that
table.  Then when you execute the merge to a new document, that document
will contain a row of data for each record in the data source.  You can then
insert a row at the top of the table and into the cells of that row, you can
enter the field names.  Then printing that document should give you what I
think you are after.