Certain headers are set automatically. They are part of the HTTP spec and the server takes care of them for you. That’s what a web server is for and why it differs from, say, an FTP server or a fileshare. For example Content-Length is easily calculated by the webserver and needs to be set so the server just does it.
Certain other headers are set based on config. Apache usually loads a main config file (often called httpd.conf or apache2.conf) but then, to save this file getting into a big unwieldy mess it often loads other files from within that. Those files are just text files with lines of configuration text to change behaviour of the server. Other web servers may use XML configuration files and may have a GUI to control the config (e.g. IIS)
So, for some of the headers, you might not explicitly set the header value but you basically configure the server and it then uses that config to figure out the appropriate headers to send. For example you can configure the server to gzip certain files (e.g. text files but not jpgs which are already compressed). In Apache this is handled by the mod_deflate module and the config options it gives you. Once the appropriate config is added to the server config, the server will do the necessarily processing (e.g. gzip the file or not depending on type) and then automatically add the headers. So an Apache module is basically something that changes how the server works and this may or may not the also set headers. Another example is for sending caching headers to tell the browser how long to cache files for. This is controlled by adding the mod_expiries module and all the config options it allows. While some of these headers could be hardcoded (e.g. Cache-Control) others depend on Apache doing calculations (e.g. Expires) so better to use the module to do this for you based on your config.
And finally you can explicitly set headers in your server (in Apache this is done using the mod_headers module). This is useful for new features added to browsers for example (e.g. HSTS, CSP or HPKP) where the server doesn't need to do anything but just add the header and the client (e.g. the web browser) knows what to do with them. You could add a JonahHuron header for example by adding this config to httpd.conf:
Header always set JonahHuron "Some Value"
As to whether that header is used depends entirely on the program receiving the response.
httpd.confor.htaccessto add/modify http headers.