You are correct. The header pipe is everything from the short accordion pipe at the turbo down to the flange joint at the front door area of the car. You will also need the donut at that joint (sometimes called a sealing ring) and the clamp at the turbo if you can't free the nut easily. The exhaust is so cheap on these cars that if the rest of the system isn't very solid, I'd just replace everything and be done with it for another 200K. Don't forget your muffler hanger donuts!

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83 M-B 300D- daily driver
83 240D gray market
2002 VW Jetta TDI- beater