Louise Hay says that headaches are caused by invalidating your self. Too much self criticism and fear are also causes. For more info see Heal Your Body by Louise Hay
The Complete System of Self Healing by Stephen Chang has a very simple and very effective head rubbing exercise. It can relieve a tension headache in seconds.
Headaches can also be triggered by certain foods. If you get frequent headaches, try keeping a food diary or log to see if you find a link between headaches and the foods you consume.
The Doctor’s Book of Home Remedies includes many suggestions for dealing whit headaches. These include exercise, sleep and avoiding bright light. They also mention self massage similar to what Stephen Chang recommended.
Like many other ailments, headaches can be a symptom of dehydration. In fact a headache may be the first symptom of severe dehydration. Drink lots of water when you first feel a headache coming on. Even if you are not dehydrated, it may help flush out toxins that your body is reacting to.
Note that if you are addicted to caffeine like many people are, not drinking caffeine will cause a headache. So try drinking some caffeine if you are accustomed to doing so.