If you could give a description of your headache, is it one sided, behind your eye, at the nape of your neck, etc...? How often do you get the headache? What is the headache intensity on a scale 1-10 with 1 being mild and 10 being the worse headache ever? When do you get your headache, is there a pattern? What kind of medication did the doctor give you? What helps?
There are many types and causes of headaches and treatment depends on the type of headache that you are having. I suggest that if your doctor has not been able to help you get relief from the headache that you see a neurologist so that you can get appropriate diagnosis and treatment. Be prepared to answer the above questions.
Some types of headaches and a brief description:
Migraine usually one sided, often behind the eye, you may see clouds, or dots this is called an aura a migraine may be accompanied by nausea and vomiting and it is usually very painfull
Tension usually tight neck and shoulder muscles accompany this headache and it occurs at the base of the neck and radiates up the head all over.
Rebound headache usually headache all over the head and is caused from taking too many over the counter pain relievers such as tylenol and advil.
Caffeine Withdrawl bad headache usually all over the head and relieved when you drink something with caffeine in it.
there are many other causes of headache but the above are most common.
Good Luck