That depends on which edition of the rules you have. Headquarters were in the 1st & 2nd editions, under rule 15.1. They are basically a target you need to protect. Here is how they worked:
15.1 Headquarters (HQ).
In some scenarios, headquarters are present as units. HQ units indicate the morale of a side's forces. The numbers in white/red in the lower right-hand corner of the HQ unit correspond to the full/reduced strength morale of that side's units specified in the scenario instructions (see 14.0).
The loss of an HQ unit is catastrophic; no friendly unit within 15 hexes of where the HQ unit was destroyed may move during the remainder of the current turn or during the two subsequent turns.
Since I got in on the 3rd edition initially, I have only seen HQs in Tank battles and the original Winter Storm mini-campaign by Norm Smith. I posted an updated bersion here. I may still be able to find the original if you like.