Sure, it's called "freezing" the top (header) rows; and you can do it with the leftmost columns, too, if need be. Try this:

Move the selection to the topmost cell that you want to be part of the data, ie below the header rows. In your screen shot that would be A5.

If you're using Excel 2010, go to the ribbon and select View, Freeze Panes. You can select the desired option from there.