header files normally just contain things like defines ( see your other post in "quest logging" for explanation.. ) and macro's..
they're just a handy way of not having to re-enter the same info over and over again for every script.. such as global variable names, so you just include the header file they are defined in, and then use the variable name in the script...
and no they don't need compiling first..
get yourself on ICQ and i'll answer what questions I can live ...
EDIT:
wait, that really doesn't answer the question, but then again i don't realy understand what you want to know... what do you mean by "where do the header files go when you want to use them in the game?"??
they don't is the simple answer.. header files aren't used directly by the game...