From this blog, the solution is to first find a control created at runtime HeaderContainer
no where documented by the MSDN page
protected void Wizard1_ActiveStepChanged(object sender, EventArgs e)
{
// Grab a reference to the label control
Label lbl = (Label)Wizard1.FindControl("HeaderContainer").FindControl("lblStepTitle");
lbl.Text = Wizard1.ActiveStep.Title;
}