It seems that you should use fancyplain.
[QUOTE]
As with other packages you can load fancyheadings.sty by putting the following in your preamble:
\usepackage{fancyheadings}
This defines some new pagestyles which you can invoke with:
\pagestyle{fancy}
or
\pagestyle{fancyplain}
The difference between these two is that \fancyplain allows you to retain control over headers and footers even on, say, the first page of a chapter - where normally LaTeX switches to plain.
[QUOTE]
(from
http://www.essex.ac.uk/linguistics/c...4ling/headers/)