[Every time I come across this problem I seem to spend a good five minutes scanning the interwebs trying to find the answer - maybe if I write it here it'll be easier to find in the future!]
SQL Server Reporting Services 2008 has a bug concerning the FixedColumnHeaders property of a tablix.
The property's description is given as :
"Indicates whether the column headers remain displayed on the page when the user scrolls the tablix data region off the page."
Well that's not actually true because setting that property to, well, anything has no discernible effect. Microsoft have acknowledge the bug (without actually calling it a bug) and provided a workaround in a knowledge base article:
You cannot keep the column headers or the row headers visible when you scroll through a report in SQL Server 2008 Reporting Services
I haven't yet checked whether this is fixed in the recent CTP2 release build of SQL Server 2008 R2. If I find out I'll try and remember to come back and update this post.