drilling pin header holes when exact drill size not locally available
The best way to drill such a hole, is with a suitable twist drill.

The "IDC connectors" possibly have the familiar 0.025" square pins, and
those will fit any hole larger diameter than their diagonal, 0.036".

Small drill sizes are numbered, and the number you want is #64 for
that exact size, and probably #61 or 1mm (0.03937") would work
as well.  Recommended drill speeds for such a drill are high, 
30000 rpm or so  PCB drill , and carbide tooling is recommended if you want
long drill life.   That's why a 'hardware store' might not have the
drill bit you want.   Dremel makes suitable drills, and industrial suppliers
stock suitable drill bits.