// Create a web request for "www.msn.com".
 HttpWebRequest myHttpWebRequest = (HttpWebRequest) WebRequest.Create("http://www.msn.com");
myHttpWebRequest.Timeout = 1000;
// Get the associated response for the above request.
 HttpWebResponse myHttpWebResponse = (HttpWebResponse) myHttpWebRequest.GetResponse();

// Get the headers associated with the response.
WebHeaderCollection myWebHeaderCollection = myHttpWebResponse.Headers;

for(int i = 0; i < myWebHeaderCollection.Count; i++) {
    String header = myWebHeaderCollection.GetKey(i);
    String[] values = myWebHeaderCollection.GetValues(header);
    if(values.Length > 0) {
        Console.WriteLine("The values of {0} header are : ", header);
        for(int j = 0; j < values.Length; j++) 
            Console.WriteLine("\t{0}", values[j]);
    }
    else
    {
        Console.WriteLine("There is no value associated with the header");
    }
}
myHttpWebResponse.Close();