Whether you are copying query output from SQL Server Management Studio or Saving result as .csv file, if you need to save the column name or column header along with result.. here is simple option you have to enable.
Goto Query > Query Options or Press CTRL + Shift + O
Goto Option Grid Under Results
Check the box which says “Include column headers when copying or saving the results”
Run the query and save result as .csv or copy paste to excel with column headers. 🙂