For immediate relief from a headache push your finger in the space between your eyebrows. That's right just above the bridge of your nose. It may hurt a little when you push but that is because you have a headache. Keep pressing and then letting go until the throbbing of the headache has subsided. The place you are pushing is actually an acupuncture point and pressing it will relieve the suffering. 'No do not stick any needles in yourself.
Another area that you can apply pressure to is slightly lower, on the bridge of the nose right between the eyes.