In relation to a PIC, what is a debug header?
MPLAB ICD 3 In-Circuit Debugger

Header Specification


  WHY DO I NEED A HEADER TO DEBUG?
  
  Some PIC® microcontrollers, particularly low pin count devices (with 20 pins or less), 
  generally must use a header for debugging. This is done to free up I/O lines for your 
  application and to make production parts more affordable. Optional headers are also 
  available for high pin count devices (with 64 pins or higher).
  
  Debugging requires a two-line connection (plus VDD, VSS and VPP) to communicate with the device. In a high pin count device, losing a few I/O lines is generally not a problem for most designs. But in a low pin count device, it can be a critical problem.  Imagine having to do an 8-pin design where there are only 5 I/Os, having used up 2 I/Os just for debugging!
  
  Notes about Headers
  
  Some 8-, 14- and 18-pin devices use small header boards with a special MCU for debugging. This special MCU has extra pins for MPLAB ICD 3 communication and therefore allows the use of all pins on the part for the application. The header board is not used or needed for programming. However, when debugging these devices the header must be used.