My site is running on site say : www.xyz.com
My blog is at say : http://www.xyz.com/blog
I have one header implemented in my main site, I want to use that header file as a worpress header. Is there any way I can do this?
You should reproduce your site's header on the header.php file on your theme. If you want any more help you could show us some code. But basically that's it, WordPress gets the header for the page from the header.php on your theme. Check out say Twenty Ten's header as an example (wp-content/themes/twentyten/header.php), and try to adapt your site's header to this format.