A good option might be to convert the data area to a table - with any cell in the data selected, go to Insert Ribbon > Table, make sure the checkbox for "my data has headers" is ticked and OK.
This will add filters automatically, make formatting easier, give you the option for total row and other things to make life easy (once you get used to using Tables).
When you scroll, the column labels (A, B, C etc) are replaced with the header row titles. Only downside is that you can't get at the filter dropdowns without going to the top of the table (this is improved in 2010 by showing them in the column headers as well - read more about tables in Excel 2010 here)