Select your matrix in the body of the report. Right click and select Properties. The Matrix Properties dialog box pops up. Go to the Groups tab. Here you'll see your row and column items. Taking Columns for example, select a column item and then click the Edit button. Now, you'll see the Grouping and Sorting Properties dialog box pop up. At the bottom, check "Group header should remain visible while scrolling" and there you go.

Happy reporting!