Booktabs table, multicolumn header underline

Use the \cline equivalent offered by booktabs:

\documentclass{article}

\usepackage{booktabs}

\begin{document}

\begin{table}
  \centering
  \def\sym#1{\ifmmode^{#1}\else\(^{#1}\)\fi}%
  \begin{tabular}{l*{4}{c}}
    \toprule
    & \multicolumn{2}{c}{Immigrants}  & \multicolumn{2}{c}{Non-immigrants} \\
    \cmidrule(lr){2-3}\cmidrule(lr){4-5}
    & \multicolumn{1}{c}{Disability} & \multicolumn{1}{c}{Offspring survival rate} & 
      \multicolumn{1}{c}{Disability} & \multicolumn{1}{c}{Offspring survival rate} \\
    \midrule
    Low    &  -0.00190    &  -0.00525    &  0.00185     &  -0.00186       \\
           &   (-0.43)    &   (-0.40)    &   (0.83)     &  (-0.36)        \\
    \addlinespace
    High   &  -0.00865    &  0.00429     &  -0.00413    &  -0.0207\sym{*} \\
           &   (-1.21)    &   (0.20)     &   (-1.01)    &  (-2.24)        \\
    \bottomrule
  \end{tabular}
\end{table}

\end{document}

The optional (lr) argument for \cmidrule trims the line on the left and right side so they're separated between columns three and four.

Add the \cline command instead of the \midrule or after the first table row (depending on what you actually want). For example

& \multicolumn{2}{c}{Immigrants} & & \multicolumn{2}{c}{Locals} \\ \cline{2-3} \cline{5-6}

The numbers i-j in the \cline{i-j} command specify the columns that should be "underlined", i.e. the line starts at column i and ends at column j.

Edit: If you are using the booktabs package, use the equivalent command \cmidrule instead as suggested by @Werner. Note, however, that the booktabs package modifies the default table appearance and some features of the original tables no longer produce satisfactory results (such as vertical table rules). That being said, using booktabs is usually a better choice.

In addition to using some of the line-drawing macros of the booktabs package to give the table an "open" look, you should also

• make the table not exceed the width of the text block; this may be done by using a tabularx environment to insert a line break in the strings Offspring survival rate

• align the numerical data on their respective decimal markers and use proper - (minus) signs rather than dashes for the negative numbers; this can be done by loading the dcolumn package and using the D column types.

\documentclass{article}
\usepackage{booktabs,tabularx,dcolumn}
\newcolumntype{d}[1]{D..{#1}}
\newcolumntype{C}{>{\centering\arraybackslash}X}
\newcommand\mc[1]{\multicolumn{1}{C}{#1}} % shortcut macro
\def\sym#1{\ifmmode^{#1}\else\(^{#1}\)\fi}

\begin{document}

\begin{table}
\caption{Health}
\begin{tabularx}{\textwidth}{ l *{4}{d{2.5}} }
\toprule
& \multicolumn{2}{c}{Immigrants}  & \multicolumn{2}{c}{Non-immigrants} \\
\cmidrule(lr){2-3}\cmidrule(l){4-5}
& \mc{Disability} & \mc{Offspring survival rate} 
& \mc{Disability} & \mc{Offspring survival rate} \\
\midrule
Low   &-0.00190  & -0.00525 &  0.00185 &  -0.00186     \\
      & (-0.43)  & (-0.40)  &   (0.83) &  (-0.36)      \\
\addlinespace
High & -0.00865 &  0.00429 &  -0.00413 & -0.0207\sym{*} \\
     &  (-1.21) &  (0.20)  &  (-1.01)  &  (-2.24)       \\
\bottomrule
\end{tabularx}
\end{table}
\end{document}