This functionality is cool and would be nice to have in a standard CHeader control.
Following is the procedure by which you can add this functionality to your own CHeader derived classes.  All you need to do is override a couple of the mouse procedures and you are in business. An Avi of how it works:

//Header
class CSizeHeader : public CHeaderCtrl
{
	// Construction
	public:
	CSizeHeader();

	// Attributes
	public:

	// Operations
	public:

	// Overrides
	// ClassWizard generated virtual function overrides
	//{{AFX_VIRTUAL(CSizeHeader)
	//}}AFX_VIRTUAL

	// Implementation
	public:
	CString m_sGrayFont;
	CString m_sSelFont;
	virtual ~CSizeHeader();

	// Generated message map functions
	protected:
	CSize m_minSize;
	CRect m_itemRect;
	CSize m_offset;
	int m_cx;
	int m_twidth;
	int m_hititem;
	CFont m_selFont;
	//{{AFX_MSG(CSizeHeader)
	afx_msg void OnLButtonUp(UINT nFlags, CPoint point);
	afx_msg void OnMouseMove(UINT nFlags, CPoint point);
	afx_msg void OnLButtonDown(UINT nFlags, CPoint point);
	afx_msg BOOL OnEraseBkgnd(CDC* pDC);
	//}}AFX_MSG

	DECLARE_MESSAGE_MAP()
	};

// -------------------------------------------------------------------------------------------------------
//.cpp file
CSizeHeader::CSizeHeader()
{
	m_sSelFont = _T("Helv");
	m_sGrayFont = _T("Helv");
}

CSizeHeader::~CSizeHeader()
{
}
 

BEGIN_MESSAGE_MAP(CSizeHeader, CHeaderCtrl)
//{{AFX_MSG_MAP(CSizeHeader)
	ON_WM_LBUTTONUP()
	ON_WM_MOUSEMOVE()
	ON_WM_LBUTTONDOWN()
	ON_WM_ERASEBKGND()
//}}AFX_MSG_MAP
END_MESSAGE_MAP()

void CSizeHeader::OnLButtonDown(UINT nFlags, CPoint point) 
{
	HD_ITEM item;
	char text[255];

	item.pszText = text;
	item.mask = HDI_TEXT | HDI_WIDTH;
	item.cchTextMax = 255;


	m_twidth = 0;
	for(int i = 0; i < GetItemCount(); i++)
	{
		GetItem(i, &item);
		m_twidth += item.cxy;
		if(m_twidth  > point.x - 10 && m_twidth < point.x + 10)
		{
			m_hititem = i;
			m_cx = item.cxy;
			break;
		}
		else
			m_hititem = -1;
//		return;
	}	
	CHeaderCtrl::OnLButtonDown(nFlags, point);
	return;
}

void CSizeHeader::OnMouseMove(UINT nFlags, CPoint point) 
{
	if(m_hititem > -1)
	{
		SetCapture();
		HD_ITEM item;
		char text[255];

		item.pszText = text;
		item.mask = HDI_TEXT | HDI_WIDTH;
		item.cchTextMax = 255;

		GetItem(m_hititem, &item);

		item.cxy = m_cx - (m_twidth - point.x);

		SetItem(m_hititem, &item);
		return;
	}
	CHeaderCtrl::OnMouseMove(nFlags, point);
	return;
}

void CSizeHeader::OnLButtonUp(UINT nFlags, CPoint point) 
{
	if(m_hititem > -1)
	{
		m_hititem = -1;
		ReleaseCapture();
		return;
	}
	CHeaderCtrl::OnLButtonUp(nFlags, point);
	return;
}

BOOL CSizeHeader::OnEraseBkgnd(CDC* pDC) 
{
	HD_ITEM item;
	char text[255];

	item.pszText = text;
	item.mask = HDI_TEXT | HDI_WIDTH;
	item.cchTextMax = 255;

	int twidth = 0;

	for(int i = 0; i < GetItemCount(); i++)
	{
		GetItem(i, &item);
		twidth += item.cxy;
	}

	CRect rect;

	GetClientRect(rect);
	rect.DeflateRect(0, CY_BORDER);
	rect.left = twidth;
	
	CBrush rBrush(GetSysColor(COLOR_3DFACE));
	pDC->FillRect(rect, &rBrush);
	return FALSE;	
}