You create header files with an editor. In the IDE File New Source Code, File Save As, Header File, ... would work fine. I usually copy or save as from another source file.
Header files are not added or removed from Pelles projects by the user. They are added and removed automatically when the IDE decides to scan for dependencies or when you select "update all dependencies."
The .h file must exist and be referenced from a .c file for the IDE to add it to the project. Create the .h file then do all those things and I think you'll see success.