As far as I am aware, headers are automatically downloaded. Read my post here again, and see if you're missing any steps.
Blocked Senders
As regards the option shown by John (z3r010), I don't have the message tab. The following is what my ribbon looks like:
I have the arrow under
Quick Steps and clicking it gives more options for the items listed there. I notice from John's snip that he doesn't have
Categorize showing between
Unread/Read and
Follow Up.