It isn't completely clear which problem you are encountering here.
a. assuming the column names are the names you use to insert the necessary
MERGEFIELDs in your document, you already have to know them to make those
insertions, and you can therefore insert them manually.
b. but maybe you have the problem where you are doing a Catalog/Directory
merge and only have a singlerow table in your Mail Merge Main Document, and
cannot insert a header without getting a header row for every data row. In
this case, it's probably best to consider doing the merge to an output
document (which you have to do with a Catalog/Directory merge anyway) then
either manually adding a header row or inserting one programmatically.
c. Or if you want something that /looks/ more like your Excel header row
data, you could consider using Edit|Copy in Excel and Paste or Paste Special
in Word to create links to the required cells. However, I'm not sure how
that would actually work in practice unless you pasted as plain text, in
which case you might as well do it manually.

Or maybe it's a different problem, in which case could you spell it out
please?