basically headers flow exhaust more efficiently and smoothly than a stock manifold...
our cars came with pretty decent headers from the factory and are good to the 10's...unless yours ever get cracked (which the ds is bound to) don't get them replaced...
A header has individual pipes for each separate cylinder, while a manifold puts all the exhaust into a common collector.
Our cars have kind of a combination, the runners are kind of short to be called a true header, but they are much better than normal manifolds. Basically the drivers side is a header and the passenger side is a manifold.