Perhaps you could give some more information.
You say that you have 'converted' - do you mean that you converted the workbook from .xls to .xlsx (or .xlsm)?
Can you also confirm that the pivot tables were created in Excel 2003?
How were the headers formatted? (e.g. what method was used to achieve the formatting).
You could also look at the following podcasts for some ideas: http://www.youtube.com/watch?v=besUhw_rBVA http://www.youtube.com/watch?v=13tQaB3TgSs
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