how can i add external links from the header to other sites and pages? where is the header?

please read the themeing tutorial. To answer your question specifically we would of course need to know what theme you might happen to be using.

i tried the 4 original themes, and after that i installed zpgalleriffic and i have found inside it a header.php so for now i am set to york. thank you for the answer. i hope i do not bother you if i ask again about thing i don't get.

Well, a theme does not need to have a header file, so the standard themes don't. Their header is in the files directly since it changes anyway per page type.