You would have to set an error variable or setting previous to redirecting. Then grab it, and display it's contents. Something like:
<?php
$username = ($_POST['username']);
$password = ($_POST['password']);
if ($username=="bob" && $password=="hello"){
header('location:Member.html');
}else{
header('location: login.php?error=1');
}
?>
login.php
<form action='somepage.php' method='post'>
<!-- Your form values here -->
<?php
if($_GET['error'] == 1)
{
echo 'Incorrect username or password.';
}
?>
</form>
~Brett