Table with sqlsrv driver is not showing headers or pagination
theme_pager() only works in combination with pager_query() (Or the PagerDefault extender in Drupal 7). And that function is obviously not going to work with sqlsrv().

For Drupal 7, there is the http://drupal.org/project/sqlsrv project, which is properly integrated into the new database abstraction layer. I suggest you have a look at the following answer to see how you might be able to use that in Drupal 6: MSSql or SQL Server Wrapper for custom module? See also How do you make sortable tables with a pager with data from a custom table? for how to create paginated queries with Drupal 7/the DBTNG project.