Hi Graham
Are you certain you are installing the correct version of Header Image? and also be sure to use the module installer - Header Image is not a component or mambot so you will get errors if you go Installers > Components for example.
Regarding the version of Header Image - you'll see at the download page there are quite a few versions:
http://joomlacode.org/gf/project/header_image/frs/
We used the one at the very bottom of the list and it seems fine, even though it is classified as obsolete.
Note that in the Header Image packages at the top of the list there are versions for Joomla 1.5 - be sure to get the correct version for your Joomla installation.
I wish we could release a version of the template that included the module but Joomla templates and modules need to be installed seperately.
Hope this helps - let us know if you are still having trouble.