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a header tells other software what functions exist in other preexisting code on the system. if you need to use a function in an external library to your own code then rather than needing the source code of the other package all you need is a declaration of what exists within that other code, not the code itself. among other things, that's a header.
A "header" file is a source code file that is "included" in other source files. Structure, type, function and macro definitions are placed in these distinct files so that they may be shared with other source code that relies on these common definitions.
The kernel source code, being a critical component of a system, defines many types, structures, functions and macros for its own use. In order to ensure correct argument passing and data size, the kernel makes these include (aka: headers) files available not only for itself, but also for user programs and device drivers. Any source code that needs to interact with the system typically requires some include files defined for building the kernel itself. Some include files are "included" in user source code merely for a single macro, while other source code may use many of the objects defined in an include file.
An addition to kernel include files, there are also the libc runtime include files, that define the objects defined by the C runtime standard(s). These are some of the most commonly included header files.
Finally, there are other libraries installed and available, such as the openssl or BerkeleyDB libraries, which also makes their header files available to programs that wish to interact with these library.
Headers are simply include files written in C, they are needed when compiling kernel modules along with the kernel source code. Headers are not really "compiled" in and of themselves, but they are needed in the compiling of kernel modules when you could say they are compiled. Also, it's NOT recommended that you upgrade your kernel headers, doing so will cause problems. Usually these are only upgraded when also upgrading glibc.