chances are, you have some output going to the browser before the header which you can't have happening.
I assume this script has only php in it and no html. The starting php tags sould be on the first line of the script. the very first characters of the script should be <?php
after that, make sure there are no print statements prior to the header command.
post your code so we can further determine the problem.
And FYI - this is a common issue for many and has been covered on these forums many times. search first and you may get an answer much faster.
