It depends on how you setup the data connection. If you're doing it in
VBA using ADO and a reference to the query, the default is to not import the
field headings.
If you're doing it without VBA, using Get External Data on the Data
ribbon in Excel 2007 you'll get the headings.
Here's a short example using Microsoft's Northwinds sample database:

Public Sub AccessQuery()

Dim rsData As ADODB.Recordset
Dim sConnect As String

sConnect = "Provider=Microsoft.Ace.OLEDB.12.0;" & _
"Data Source=C:\VB 2008\Northwind 2007.accdb"

'create the recordset object and run the query
Set rsData = New ADODB.Recordset
rsData.Open "[Inventory on Hold]", sConnect, adOpenForwardOnly,
adLockReadOnly, adCmdTable

'put the contents of the recordset into the worksheet
Sheet6.Range("A1").CopyFromRecordset rsData
Sheet6.UsedRange.EntireColumn.AutoFit
'close the record set object
rsData.Close
'destroy the record set object
Set rsData = Nothing

End Sub

I should note that you will also have to add a reference to the ADO
object library when you create the project (In VBA editor Tools
References & look for Microsoft Active X Data Objects Library, whichever is
the latest edition).