I guess i'm not entirely sure what you mean about header to a link.
what type of workflow action have you created?
An HTTP GET request can have a header field to convey more information to the target server than what's in the URI. I couldn't paste the actual example in the question because I don't have enough Karma points to put in anything that looks like a link. A common header field is Content-Type. It might look like this:
Others are listed in Wikipedia under "List of HTTP header fields". How would we had a header field to a Splunk "Workflow Action" for an HTTP GET uri?