I have found if it's a fairly simple report you can include a "page header" as an extra row at the top level of a table, and in the properties...

As Luke indicated, what you do will depend on the size of the datasets you're working with. If they're fairly small, here's my two bits.

Having had trouble loading sets of...

e.j.egan (2/26/2009)

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One other drawback however is that you can't visibly see the colors from the layout view...which when you have a lot going on in a layout can be confusing...