Headers interface between the kernel and the libraries, user space and
applications. You remove kernel headers using apt-get or Synaptic rather
than a file manager. You need to keep things tidy or you risk messing up
your system. Just search (not quick search) in Synaptic for headers and you
will see which ones are installed. Utilities like Ubuntu Tweak or Ailurus
will also allow you to clean up your old kernels.