When I started Lupron, I had severe headaches as well and the only thing I could take was tylenol (which pre-fertility treatments & pregnancy, I was a dedicated excedrin user!). I asked my doctor about it and he said it was normal (something like it was hormone related, can't remember exact words) and given a few days, they would go away. Thankfully, they did.
Did you try extra strength? That worked for me. If it's not enough, talk to your RE and see what he suggests. The headaches are normal though. Mine started a few days in. Now I'm 14 weeks and STILL have a headache almost every day. Small price to pay :-)
I just wanted to let you know I have been on Lupron for about 2wks.. and I have had a dull headache everyday for about a little over a week. I don't have any suggestions... as I have not found a way to "get rid of it"...but just wanted to let you know, your not alone.