I think the "header" in this case refers to a special adaptor that is used for debugging. As the data sheet explains in Section 12.11, the header provides an debugging interface to the debugger hardware and also access to the chip itself.
The chip you are using has only 8 pins and when you take out the 3 for power and \MCLR\ there are only 5 pins left. While you can use another 2 pins for programming (which happens when the device is not actually working), you generally cannot afford to lose 2 pins for debugging as that would only leave you 3 pins for your app.
Susan