You can do this with separate calls to xlswrite() (e.g., one call to write the matrix data, one call to write the column names, and one call to write the row names), or you can do it one call by writing a cell array containing everything, like this:
data = [0 1 2; 3 4 5];
cols = {'One' 'Two' 'Three'};
rows = {'1st' '2nd'};
xlswrite('test.xlsx',[{''} cols; rows(:) num2cell(data)]);
