What should I take if I have a sinus headache?

Allegra-D or NSAIDs. The best treatment for a sinus headache is an antihistamine with sudafed such as allegra-d, claritin-d or zyrtec-d. This often relieves the symptoms in 2-4 hours. For more immediate treatment nsaids like Motrin or advil are helpful. For chronic sinus headaches, you should see an ENT speicialist to determine the cause. Nasal steroid sprays and neilmed sinus rinses can help too.
Decongestant, NSAID. You need a decongestant to open up your sinuses and let them drain and an NSAID to help you head stop hurting. You might also consider some saline rinses for your sinuses, like netty pot. If it continues or if you develop a fever, you need to see your doc to see if you have a sinus infection.
Vicks. In addition to the great suggestions provided by the other doctors, one thing that I do when I get sinus pressure headaches is to rub Vicks on my forehead. Give it a try! It works for me.