Hi,
The URL is the resource location with or without additional parameters that will be requested - e.g. www.cisco.com or http://forum.cisco.com/eforum/servlet/NetProf?page=netprof&needs_authentication=yes&forum=Data%20Center&
The HTTP headers on the other hand are additional parameters that are part of the HTTP protocol. They define things like Cookies, the referrer etc. A list of headers can be seen at http://en.wikipedia.org/wiki/List_of_HTTP_headers.
It is also possible to add your own headers - usually prefixed with X-.
If you look at the dissection of an HTTP conversation captured by Wireshark you'll see how the headers are used.
HTH
Cathy
