Its, i think very dificult to capture the headers of your
datareport. Maybe you cant do that, i dont know.
But what you can do is when your finish your command
with a SQL statement. You can read the value's that was
generated by your dataenvironment. So when everything is ready.
You can place all those value's in word.


TiP:

You can use almost everything that was generated by visual
basic for applications in word. In your visual basic project.


Example:

Code:
objWordApp.Selection.TypeText Text:="Hello my friend!"
This line of code will place some text in your document.