Saving results with headers in Sql Server Management Studio

Tools > Options > Query Results > SQL Server > Results to Text (or Grid if you want) > Include columns headers in the result set

You might need to close and reopen SSMS after changing this option.

On the SQL Editor Toolbar you can select save to file without having to restart SSMS

Try the Export Wizard. In this example I select a whole table, but you can just as easily specify a query:

(you can also specify a query here)