On a Matrix with several groupings you need to group going from right to left by all grouping which are before the current group, bring up the properties for the far right group by right clicking the textbox and selecting Edit Group:

This will be set to whichever field you specified when the group was added (in this case Fields!Name.Value)

Now bring up the Group properties for the group to the immediate left and Group on the specified group and all other grouping to the right:

And likewise for the next grouping:

And so on until you reach the far left group

Now to give these groups there own column headers you need to create a rectangle with textboxes in it which are the same width as the group column, I find it easiest to create the rectangle below the Matrix object first:

Once you have the textboxes sized to the same height and width as the column groups resize the rectangle to the same size as the top left corner textbox in the Matrix and then cut and paste the rectangle into this textbox: