Do you mean a UI header element, like a tool bar or do you mean like a request header, like for an HTTP request? If you're looking to send information along with the video, either attaching metadata to your video or using NetStream.send(). If you're looking to add a UI element, look at
http://blogs.adobe.com/osmf/files/osmf/REOPS_Skinning_And_Control_Bar_System.pdf and see if the skinning info there helps you. Also, if you want to just go easiest, you can create a UI component and just lay it over the player.
Nils