Headers and Footers are simply content areas to help you split out the Header and Footer code from the rest of the Template/Pages.
It would likely contain the whole Header strip (including navigation) or the whole Footer Strip.
It can be managed in Admin or via CLI:
Footers work in exactly the same way, it's just separated for ease of finding them and adding them to Templates.
You would likely insert a Menu from Toolbox but we'd recommend most changes are done via CLI: