To do a header that will stay on the screen all the time whilst you scroll down is as simple as going to the cell immediately below the header where the data starts and select freeze pane from the view ribbon (Office 2007 - not sure which menu in 2003).
You cannot alter the grid structure to have the headers starting from row zero. Perhaps you should but a counter in column a - not sure why you feel it is important to have the data starting at row 1 - perhaps you could explain and we could give you a workaround.