What causes flu headache?

Blood vessels in the brain swell, increasing pressure, and resulting in a headache. Blood vessels elsewhere in the body constrict to conserve blood in the body's core, making you feel cold and your skin go pale.

I answered a question about the flu earlier and walked someone through what the flu can do to your body.
I have copied it below:
What can happen inside the body when it comes into contact with the winter flu (Influenza B).

When you breathe in air containing the flu virus, the virus by no means immediately enters your body. It may get trapped in the layer of slimy mucous that lines your throat and nose, or be swept out by the cilia (the tiny hairs lining the airways that beat 1000 times per minute to waft away intruders.

But, if it latches on to one of your body cells, it's taken inside at once. There it invades the cell's nucleus and takes over the cell's manufacturing ability to make clones of itself. Ten thousand new viruses are made by a single invaded cell. These viruses go out to invade new cells and make even more new viruses, and so the infection spreads.

But as each body cell is taken over by an invading virus, it sends out a distress signal as MHCs (which transport chemicals from inside the cell to the cell surface) carry viral proteins to the surface which are brought to the attention of killer T-cells (which sort of roam the body looking for trouble). Immediately they see the distress signal, coat the cell with toxic chemicals killing it and the virus. Soon the infected spot in your throat is clogged with debris from dead cells.

In rush macrophages (another type of cell) to clean up the mess (they sort of eat it up), aided by histamin, which boosts the blood flowto the infected area to get more white blood cells in (killer T-cells and others).

That is when you become aware of the battle raging in your throat., as the swollen blood vessels press on pain receptors, and the local temperature rises by about 3 degrees celsius as your body tries to speed up the growth of new throat cells.

Soon, chemical signals sent out by the flood of macrophages are generating symptoms all over your body. For a start, your pain threshold is lowered, making your limbs ache. Then a fever commences as your whole body temp rises to help new cells grow and to repair the damage. You start to shiver as your muscles contract to generate heat. Blood vessels in your skin constrict to conserve blood in your body's core, making you feel cold and your skin go pale.

At the same time, blood vessels in your brain swell, increasing pressure and giving you a headache. Paracetamol or aspirin will reduce the fever and other symptoms -- but reducing the fever slows the body's fight against the virus.

Meanwhile, the virus multiplies so rapidly that the killer T-cells can't keep pace., and gradually it begins to spread down into your lungs. Fortunately, the macrophages that have eaten the invaded cells are drifting off through the blood by now and eventually pass through a lymph node or gland. Once in the lymph node, the viral material that the macrophage is carrying is recognized by lymphocytes (white blood cells) that are stored in the gland -- and these immediately go into action. T-cells multiply rapidly, swelling the glands until they become very tender.

T-cells rush through the bloodstream to the battlefield in your throat., where the virus is attacking more and more throat cells. Your throat becomes so clogged with debris that you have to cough to get rid of it.

Meanwhile, a single B-cell (another part of the immune system) in the gland recognizes the viral material, multiplies, and begins to release a flood of antibodies --- over 2000 per second. The tiny antibodies spread rapidly through your body fluids to the site of infection. There they lock on to the virus and prevent it from cloning itself.

At last, the combination of antibodies, T-cells, and macrophages begin to take its toll on the virus and the battle is won. If T-cells and antibodies go on multiplying, they would overwhelm the body, just like cancer. So, the T-cells turn their toxic effects on themselves and the multiplying (antibody-producing) B-cells. Only a few survive, carrying the memory of the battle with them, ready to fight instantly against any renewed infection.

This is what 'winter flu' is like for most people, but for some it is much worse, and occasionally fatal --notably the very young, the elderly, and those with respiratory problems for whom flu can pave the way to pneumonia. For children who are being treated with long term aspirin, flu can lead to a liver problem (Reye's Syndrome) which can plunge them into a coma, or prove fatal. Those being treated with long term steroids (corticosteroids) may have such a weakened immune systems that they can fall gravely ill and may die. This is why doctors target these people and try to ensure that they are vaccinated against the most likely strain of winter flu to arrive each year.