What does that fork look like that came with the frame? That will be a good starting point to see if you need a threaded vs threadless headset. Once you figure that out, you will know what style headset to get.
Here is more information about installation
Threaded
http://www.parktool.com/repair/readhowto.asp?id=127
Threadless
http://www.parktool.com/repair/readhowto.asp?id=65