A headache could be a sign of a brain tumour. The best way would be to consult a doctor to find out if your headache requires you to undergo an MRI scan.
While a headache could be a sign of a brain tumour, people who have headaches, are not at increased risk of having brain cancer. 
As you can see: the risk of having a brain tumour in the general population is 0.4%. And the same goes for patients with headache, less than 1% of these patients will turn out to have a brain tumour.
However, there could be certain signs that some headaches could be more dangerous than others, and that, you would have to consult a doctor to differentiate.