When you start to lose weight on Atkins, your body is disgorging all sorts of toxins that have been stored in the fat. You are probably going to feel awful for a little while, but that is really a good sign. You are on your way to purging yourself and losing weight too.
Headaches can be caused by dehydration, electrolyte imbalance, and the toxins being released. Be sure you are drinking enough liquids. Some people, myself included, have to take potassium for a while. You might consider that.
Just hang in there, stick to the plan and you should start feeling a lot better soon enough. And you'll be losingf weight too. That's the best part.