I have had a headache for about 4 days now and yesterday i also started experiencing pain in what feels like the vein on the right side of my neck.

Possibly migraine: It is not common to have a headache that lasts for 4 days. Migraine headaches which often cause throbbing pain could last this long. Migraines are vascular headaches and could potentially cause pain in other blood vessels. For more info see: http://understandingmigraine.blogspot.com/. If this is not usual for you, you should be evaluated by a doctor to determine the cause and get treatment.