It's not currently possible to group together measures and give them different names in this way. As a workaround, you can probably do this using Jonathan Drummey's workbook:
Hope this helps!
Unfortunately that's not really possible in a single worksheet using Measure Names/Values. There are two options that I know of to get this kind of view:
1. Use a dashboard where the headers are text fields or separate worksheets placed above the existing worksheet.
2. Reshape your data to "unpivot" it so there is one row per measure, with extra columns for the Measure Name and Measure Group.
There's an Idea for this feature, it looks like that's where the screenshot came from, at: http://community.tableau.com/ideas/1594#comment-3501
Yes the screenshot came from that original post that had no feedback on it as I ran into this issue. Seems like a fairly easy thing that should be accomplished but based on the comments is not possible or you have to do a complicated workaround that is way to much work for such a simple ask. Wonder if Tableau 8 addressed this as grouping of measures for a header would make finance world a lot easier.
Ideas are feature requests that get votes, they only get comments/feedback when there's discussion to be had.
Unfortunately, the only way that Tableau 8 makes this easier is that we get some improved layout controls for the dashboard option.