Most Headaches are usually nothing to worry about and usually no medical attention is needed for most headaches.
Usually if the headache is not too severe the headache should go away either within the same day or within a week on it's own.
If the headache begins to get worse or doesn't go away within a few days to a week or the pain with the headache is increasing then you should go to the emergency room to get the headache checked out.
Sometimes headaches can be caused by cancer or other serious health issues so it's best to get the headache checked out if it gets worse or hasn't gone away within a week or so.
A severe headache that starts suddenly could lead to a stroke.