I really would like some HTML code inside of it...

You can't. But starting on the 0.1.3 version you can have some XHTML elements inside of it. :-)
It's almost the same stuff as the HTML, but it needs to be well-formed, learn about it on http://www.w3.org.
For this you can use the XHTML tag, and put any XHTML elements inside of it. Let's see an example with a table, inside the page header, with the sales8.xml file:
<?xml version="1.0" encoding="ISO-8859-1" standalone="no"?>
<!DOCTYPE REPORT SYSTEM "PHPReport.dtd">
<REPORT>
   <TITLE>Sales Report</TITLE>
   <BACKGROUND_COLOR>#FFFFFF</BACKGROUND_COLOR>
   <CSS>phpreports.css</CSS>
   <DOCUMENT>
      <FOOTER BORDER="1" CELLSPACING="0" CELLPADDING="5" WIDTH="500">
         <ROW>
            <COL ALIGN="RIGHT" CELLCLASS="DOCUMENT_LAYER" WIDTH="430">report total</COL>
            <COL ALIGN="LEFT" CELLCLASS="DOCUMENT_LAYER" TEXTCLASS="BOLD" NUMBERFORMATEX="2" TYPE="EXPRESSION">$this->getSum("value")</COL>
         </ROW>
      </FOOTER>		
   </DOCUMENT>
   <PAGE BORDER="1" SIZE="25" CELLSPACING="0" CELLPADDING="5" WIDTH="500">
      <HEADER>
         <ROW>
            <COL COLSPAN="4" CELLCLASS="PAGE_LAYER" TEXTCLASS="BOLD">
               <XHTML>
                  <TABLE BORDER="0" WIDTH="100%">
                     <TR>
                        <TD CLASS="TITLE" ALIGN="LEFT" VALIGN="TOP" COLSPAN="2">
                           John Doe Enterprises
                        </TD>
                        <TD CLASS="REGULAR" ALIGN="LEFT" VALIGN="TOP" ROWSPAN="2">
                           RTMF street, 12&lt;br/&gt;
                           S.J. Rio Preto, SP&lt;br/&gt;
                           Brazil
                        </TD>
                        <TD ALIGN="RIGHT" VALIGN="TOP" WIDTH="50" ROWSPAN="2">
                           <IMG SRC="penguin.png" BORDER="0"/>
                        </TD>
                     </TR>
                     <TR>
                        <TD ALIGN="LEFT" VALIGN="CENTER" CLASS="PAGE_LAYER">
                           <SPAN CLASS="BOLD">
                              Sales Report
                           </SPAN>	
                        </TD>
                        <TD ALIGN="CENTER" VALIGN="CENTER" CLASS="DOCUMENT_LAYER">
                           São Paulo state
                        </TD>
                     </TR>
                  </TABLE>
               </XHTML>
            </COL>
         </ROW>
      </HEADER>		
      <FOOTER>
         <ROW>
            <COL ALIGN="RIGHT" COLSPAN="3" CELLCLASS="PAGE_LAYER">page total</COL>
            <COL ALIGN="LEFT" NUMBERFORMATEX="2" CELLCLASS="PAGE_LAYER" TEXTCLASS="BOLD" TYPE="EXPRESSION">$this->getSum("value")</COL>
         </ROW>
      </FOOTER>		
   </PAGE>
   <GROUPS>
      <GROUP NAME="citygroup" EXPRESSION="city">
         <HEADER>
            <ROW>
               <COL CELLCLASS="GROUP_LAYER"><LINK TYPE="STATIC" TITLE="search cities here" TARGET="_blank">http://www.citysearch.com</LINK>city:</COL>
               <COL CELLCLASS="GROUP_LAYER" TEXTCLASS="BOLD" TYPE="EXPRESSION" COLSPAN="3">$header->getValue("city")</COL>
            </ROW>
            <ROW>
               <COL CELLCLASS="GROUP_LAYER">id</COL>
               <COL CELLCLASS="GROUP_LAYER">name</COL>
               <COL CELLCLASS="GROUP_LAYER">product</COL>
               <COL CELLCLASS="GROUP_LAYER">$</COL>
            </ROW>
         </HEADER>
         <FOOTER>
            <ROW>
               <COL ALIGN="RIGHT" COLSPAN="3" CELLCLASS="GROUP_LAYER">city total</COL>
               <COL ALIGN="LEFT" CELLCLASS="GROUP_LAYER" TEXTCLASS="BOLD" NUMBERFORMATEX="2" TYPE="EXPRESSION">$this->getSum("value")</COL>
            </ROW>
         </FOOTER>
         <GROUP NAME="customergroup" EXPRESSION="name">
            <FOOTER>
               <ROW>
                  <COL ALIGN="RIGHT" COLSPAN="3" CELLCLASS="GROUP_LAYER">customer total</COL>
                  <COL ALIGN="LEFT" CELLCLASS="GROUP_LAYER" TEXTCLASS="BOLD" NUMBERFORMATEX="2" TYPE="EXPRESSION">$this->getSum("value")</COL>
               </ROW>
            </FOOTER>
            <FIELDS>
               <ROW>
                  <COL CELLCLASS="GROUP_LAYER">
                     <LINK TYPE="DYNAMIC" TITLE="click here for more info about this customer" TARGET="_blank">url</LINK>id
                  </COL>
                  <COL CELLCLASS="GROUP_LAYER">
                     <LINK TYPE="STATIC" TITLE="search this customer name">http://www.mysite.com/customernames.php</LINK>name
                  </COL>
                  <COL TYPE="FIELD" CELLCLASS="GROUP_LAYER">product</COL>
                  <COL TYPE="FIELD" CELLCLASS="GROUP_LAYER" NUMBERFORMATEX="2">value</COL>
                  <COL TYPE="FIELD" VISIBLE="FALSE">city</COL>
               </ROW>
            </FIELDS>
         </GROUP>
      </GROUP>
   </GROUPS>
</REPORT>
The result is:

sales.xml result file
Notice that <IMG> element, you need to specify it as <IMG/>, because XHTML elements MUST have open and close tags, so put a / on these kind of "lonely elements" like IMG, BR ... wait!!!
Check that column with "RTMF Street, 12" ... after this words we have a &lt;br&gt;, that creates a <BR> element. Why didnt simple put it there? Simple. In my tests, the XSL transformation will generate a <BR></BR> element, and, different from a <IMG></IMG> element, it will generate some mess in your browser, and will put *two* line breaks there. So I used &lt; and &gt; to make it works. Another other thing I must warn you is not put XHTML code inside COL elements of the EXPRESSION TYPE, it must result some messy code, and not put it also on COLs where you want the COL value in some position inside your XHTML code, won't work.
So pay attention on these details. ;-)

And now we're done. :-)