At the risk of incurring wrath from the experts.....

I often tend to do this in a different way, bear with me - its pretty quick once you have done it a couple of times (I actually wrote a macro but I am doing it longhand)

Create the qry as normal in Qry Analyser, open up Excel, click, Data, Get External Data, new Qry, select doubleclick the database (assuming you have an ODDC link to it)

Then click '>', next, next, next, select 'View data or edit Qry' finish

( I know its nothing like the Qry that you want at this stage )

Click the SQL button and then Copy and paste your Query from the Analyser over the qry that is already in the box, click File, Return to sheet

As well as maintaining the column headers - you can also then save the worksheet as an XLT, Excel Template so that it autorefreshes when you open it again

Dave