You can also use this option (maybe in conjunction with Rahul's suggestion).
Go to File and select Report Options
There is an option for "Show All Headers on Drill Down".
If you mark this as TRUE all of the headers(and footers) will continue to appear as you drill down.
Somethimes this gets to be too much infomration and you will need to incorporate some of the conditional suppression functionality using the DrillDownGroupLevel option that Rahul suggested.