Arbitrary mail headers can be set by using the addHeader() method. It requires two parameters containing the name and the value of the header field. A third optional parameter determines if the header should have only one or multiple values:

$mail = new Zend_Mail();
$mail->addHeader('X-MailGenerator', 'MyCoolApplication');
$mail->addHeader('X-greetingsTo', 'Mom', true); // multiple values
$mail->addHeader('X-greetingsTo', 'Dad', true);