how to build a header in Geany IDE ?

Not sure. Just downloaded and installed it myself.
It looks pretty nasty, to be honest. I've been using IDEs for over 20 years and still can't make heads nor tails of it.
I've created a sample.h and sample.c, both saved in the same folder as main.c (they both appear in the 'project explorer' window alongside main.c)- yet whenever I hit build, it only tries to compile main.c - it totally ignores sample.c

Not really an answer, but I'd suggest dumping it in favour of Code::Blocks - I can code in windows, save, then load up the same project in Linux and hit build and it just works. I've spent less time making an openGL project coded and saved under windows build and run under linux, than I've spent trying to get this thing to work. (though I never did like difficult documentation, which I admit to having not searched for - something as trivial as this should be intuitive. For me at least, it just wasn't)

Sorry, can't help you any more than this. :)
Best of luck.