Why do I have this horrible headache?

I woke up this morning with a terrible headache. It is all over my head. I am not cringing at the sight of lights or at the sound of noise, but I don't exactly like it either. It hurts to inhale through my nose. This sweet girl suggested that I go to urgent care, or the ER, but I an American and I have no medical insurance. What do you think is wrong? Should I go to urgent care?