I often check the following option in the hope that it will be implemented when the report is rendered on the RS
web portal - but it never works...
I find it usually doesnt work as advertised and you have to find the "Advanced mode" button (a strong candidate for the worst piece of UI ever) and then fiddle with several properties.
Here's probably the best reference:
http://blogs.msdn.com/b/robertbruckner/archive/2008/10/13/repeat-header-and-visible-fixed-header-table.aspx