Ive had a bit of experience with fitness training and ive noticed that people who haven't done any fitness training in a long time, tend to get headaches easier. It can be put down to a number of things:
dehydration (drink more!)
heat intensity (and hence fluid buildup)
Lack of energy (you need to eat something before you exercise)
Lack of physical fitness (your body is just getting used to the level of training you are doing, if you persist, the headaches will dissapear)
Physcological Barriers (ie, torn heart strings!)
Good luck in finding the source of your headaches!