I have heard the expression used, but can't find its correct spelling or usage.
へえ (also spelled へぇ, へー, へぇ～, ...) is even listed in a dictionary (from 大辞林):
An utterance expressing surprise, admiration or doubt. »—, so he got married, eh?« »—, really?«
A word used (especially by women in the Kansai area) to reply or agree. »—, thanks a lot«
Depending on the context, English equivalents could be "wow", "oh", "no way", "huh", etc.
If you mean a more or less prolonged へー , often with a falling-then-rising intonation, it indicates that the person using it finds what has just been said surprising, remarkable or impressive in some way. Something like "Good Heavens", "You don't say", "That's amazing", "Wow". Used more by female than by male speakers.