X-Drupal-Cache http header
To change drupal http-header information check out drupal_set_header() (D6) or 
drupal_add_http_header() (D7).

Looking at the documentation for _drupal_bootstrap_page_cache, it seems the header shows 'HIT' if the page is displayed from cache, and 'MISS' in the case it is not.

Check out Set X-Drupal-Cache header during page_cache_fastpath and Implement better cache headers for reverse proxies for more information about the X-Drupal-Cache header. It seems to be a Drupal 7 or Pressflow only thing.