In SSRS 2005, you go to Table properties and tick the "Repeat header rows on each page" option under Row Headers. This will do the trick; however, it does not necessarily work in SSRS 2008 especially if you have added grouping on to the tablix, which is very annoying.
In SSRS 2008, under Row Groups – Column Groups pane, click the pointed downward arrow at the corner right then select "Advanced Mode". For row grouping, under Row Groups, select "Static". In the properties for "Static", set the following:
– KeepTogether = True
– KeepWithGroup = After
– RepeatOnNewPage = True