Think of both like this (Disclaimer: this is a really high-level analogy ;) ..
- The header is a phone number you can call, while...
- ...the library is the actual person you can reach there!
It's the fundamental difference between "interface" and "implementation"; the interface (header) tells you how to call some functionality (without knowing how it works), while the implementation (library) is the actual functionality.
Note: The concept is so fundamental, because it allows you flexibility: you can have the same header for different libraries (i.e. the functionality is exactly called in the same way), and each library may implement the functionality in a different way. By keeping the same interface, you can replace the libraries without changing your code.
And: you can change the implementation of the library without breaking the calling code!
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