Actually, you should specify an absolute URL when sending Location: headers to the browser, e.g.

PHP Code:
header('Location: page.html'); // is technically incorrect 
PHP Code:
header('Location: [url]http://www.mysite.com/page.html[/url]'); // the right way to do it 
Whether or not you include the other lines is up to you, however in my experience the server does this for you and so there is no need to add them manually.