Hi Murugesan,
The word does not repeat the header on each page as rendering mechanism is different for PDF and header.
If you do want to do this....you follow the post this might help you - >
http://social.msdn.microsoft.com/Forums/en/sqlreportingservices/thread/15af9da0-4fde-4b59-9f21-a6ce528a7fd7
Regards Harsh