I do not think it is possible using the html/xml model. The header/footer information is stored separately, as html does not really support the concept. So it would require downloading multiple files, which is not possible unless you are serving the contents as a .zip file.
Per the Office HTML and XML Reference
Header and footer information is
stored in a separate file named
Header.htm. Inside the file, the
header and footer information is
stored as fields, using Span elements
with the mso-element:field-begin,
mso-element:field-separator, and
mso-element:field-end attributes in
conjunction with the MsoHeader and
MsoPageNumber styles.
EDIT: Technically, a url can be used to specify the header file location. But I do not think that is a great option, as it creates dependencies. It also seems to trigger an MS Word security warning of sorts "Some of the files in this Web page aren't in the expected location. Do you want to download them anyway ...". However, to demonstrate, I think something like this should be the minimum needed to produce headers.
<!---
Download
--->
<cfheader name="Content-Disposition" value="inline; filename=myDoc.doc">
<cfcontent type="application/msword">
<html xmlns:o="urn:schemas-microsoft-com:office:office"
xmlns:w="urn:schemas-microsoft-com:office:word"
xmlns="http://www.w3.org/TR/REC-html40">
<head>
<!--[if gte mso 9]>
<xml>
<w:WordDocument>
<w:View>Print</w:View>
<w:Compatibility>
<w:UseAsianBreakRules/>
</w:Compatibility>
<w:DoNotOptimizeForBrowser/>
</w:WordDocument>
</xml>
<![endif]-->
<style>
<!--
p.MsoNormal { font-family: Arial; }
@page Section1 {
mso-header-margin:.5in;
mso-footer-margin:.5in;
mso-header:url(http://mysite.com/myDoc_files/header.html") h1;
}
div.Section1 {page:Section1;}
-->
</style>
</head>
<body>
<div class="Section1">
Regular HTML document goes here
<br clear="all" style="page-break-before:always;mso-break-type:page-break" />
Next page goes here
</div>
</body>
</html>
<!---
myDoc_files/Header.html
--->
<html xmlns:v="urn:schemas-microsoft-com:vml"
xmlns:o="urn:schemas-microsoft-com:office:office"
xmlns:w="urn:schemas-microsoft-com:office:word"
xmlns="http://www.w3.org/TR/REC-html40">
<head></head>
<body>
<div style='mso-element:header' id="h1">
<p class="MsoHeader">Starting header at Page
<span style='mso-field-code:" PAGE "'>
<span style='mso-no-proof:yes'>1</span>
</span> of
<span style='mso-field-code:" NUMPAGES "'>
<span style='mso-no-proof:yes'>1</span>
</span>
</p>
</div>
</body>
</html>