A page served by a webpage consists of two parts, the header and the actual content. The header part contains a number of lines which give information which is directly relevant for the browser to interpret the page. These line tell if the resource has been found or not, or is maybe available on another location (301 redirect info), the MIME type and encoding of the resource, if it is allowed to cache the resource and in some occasions also cookies.
This header part is never shown in your browser, but rather directly interpreted. A server header checker makes these header lines visible. One possiblity is to use a plugin in your browser like the Header Spy plugin for Firefox. Another possibility is to let a server load the page, extract the header for you and display it to you in a web page. If you are a subscriber here on WebmasterWorld you can find such a server based header checker in the subscription forum. But you can also sign up for a free Google Webmaster Tools account which gives you the possibility to view your pages like Googlebot sees it, including these header lines.