When the list control has been created (you can usually do this in a dialog's OnInitDialog handler), use GetHeaderCtrl to get access to the list control's header window.
If you want to just bold the existing font, use GetFont & GetLogFont, set the bold style, create a new font from the LOGFONT using CreateFontIndirect and save the newly created font object in the list control's parent class (usually a dialog class) so that the font will exist for the lifetime of the list control.
Set the header control's font to your new font using SetFont.