I have been on celexa for a couple of years now. 20mg if citalopram per day (generic name). I don't recall getting headaches from it, but I'm curious if you have ever had migraine headaches before.
I used to get migraines about 4 times a year, but thankfully 800mg ibuprofen three times a day completely stopped them.
If the headaches haven't changed or shown any sign of letting up after 3 weeks, I would discuss that with my doctor. There is a chance that you are having a psychological stress reaction to the celexa, and if that is the case, it is temporary.
Guilt and shame have never done any of us any good at all.