How severe is the headache?
I will argue that if it is severe enough that a doctor (you trust) would write you an Rx, that you should break the fast.
Medicines are classified Rx because they can damage the body and should only be used if the risks of not taking it outweigh the risks of taking it.
There will be cases where the doctor would only advise over the counter medications, or even no medications, that breaking the fast would be advised.