Here is an example of HTTP GET request, all below first line are request headers.
Request header is a name value pair. Every HTTP request includes few headers.
Some of them contain information about user's browser and its capabilities. For example if it supports compressed response or which encodings it can accept. These information can be used by the server to customize the response.
And one more thing is that i came to know that , when we add a header a cookie is being added
No, if you add a cookie in response to a request. The cookie will be send back, as a request header, by the browser with every following request. Browser will do it automatically provided it accepts cookies.
In what point i will add some data in the header
You can't. It is the job of a browser to properly set request headers. It happens automatically. But you can read the information contained in these headers.
[ January 10, 2007: Message edited by: Jasiek Motyka ]