We need to create an .iststyle file and tell makeindex to use it. My style file is as follows:
headings_flag 1
heading_prefix "{\\textbf{"
heading_suffix "}}\\nopagebreak\n"
The first line tells makeindex to display a heading for each group (1 stands for true). The last two lines will format the heading the way you want (I used textbf to make the heading bold).
Now, with myheader.ist, we simply call
makeindex -s myheader.ist myfile.idx
Consider this example:
% arara: pdflatex
% arara: makeindex: { style: myheader.ist }
% arara: pdflatex
\documentclass[a4paper,12pt]{book}
\usepackage[T1]{fontenc}
\usepackage[utf8]{inputenc}
\usepackage{makeidx}
\makeindex
\begin{document}
Some text.\index{Apple}\index{Apricot}\index{Avocado}\index{Banana}
\index{Bilberry}\index{Blackberry}\index{Blackcurrant}\index{Blueberry}
\index{Currant}\index{Cherry}\index{Cherimoya}\index{Clementine}
\index{Date}\index{Damson}\index{Dragonfruit}\index{Durian}
\index{Eggplant}\index{Elderberry}\index{Feijoa}\index{Gooseberry}
\index{Grape}\index{Grapefruit}\index{Guava}\index{Huckleberry}
\index{Jackfruit}\index{Jambul}\index{Kiwi fruit}\index{Kumquat}
\index{Legume}\index{Lemon}\index{Lime}\index{Lychee}\index{Mandarine}
\index{Mango}\index{Melon}\index{Nectarine}\index{Orange}\index{Peach}
\index{Pear}\index{Pitaya}\index{Physalis}\index{Plum}\index{Pineapple}
\index{Pomegranate}\index{Purple Mangosteen}\index{Raisin}\index{Raspberry}
\index{Rambutan}\index{Redcurrant}\index{Salal berry}\index{Satsuma}
\index{Star fruit}\index{Strawberry}\index{Tangerine}\index{Tomato}
\index{Ugli fruit}\index{Watermelon}\index{Ziziphus mauritiana}
\printindex
\end{document}
Running the following commands:
pdflatex myfile.tex
makeindex -s myheader.ist myfile.idx
pdflatex myfile.tex
We will obtain this output:

Hope it helps. :)