Do you mean filemaker version 6? I don't know of any program called filemaker 2006.
If you meant version 6, then read up on section 12-6 to 12-8 of the user guide:
My guess is you'll have to use an alternative format, such as .DBF, and then convert to CSV using a different program that supports it. I'm not sure filemaker has ever exported field headers in the CSV format.
The other method would be to manually add the header row after it was exported.
Just export as .mer ( Merge File) the field name will be the first row. Then change the extension after export to .csv
As Mike mentinos, merge format includes this. A few other options:
create another file (yes, that's FM 6) as a temp table where you can massage data a bit and insert a row containing field names you have more control over, export from there...
use an xslt stylesheet to transform the data exported as XML.
There are probably more, those are just two more that come to mind.
As David mention (I meant), merge format includes field names.