In that case, I'll leave you to do it. Just a couple of notes to start...
* Can't stress this enough: Before you start, please make sure you do a backup of your database. You can never be too careful! *
* The table names that I make reference to start with "WP_". Depending on how your WordPress setup was configured, it's possible that your table names start with something else, as this can be set in the WP configuration file. *
Within phpMyAdmin, open your database. Using the "SQL" tab, run the following query
SELECT * FROM wp_postmeta where meta_value = 'custom-header'
This will display all rows within WP_POSTMETA that are your custom header images.
Make a note of the value(s) in the POST_ID column. Depending how many header images have been uploaded, you may get multiple rows returned.
Run the following query, replacing "value1, value2, value3" with a comma seperated list of the POST_ID's you wrote down from the previous query. If the last query only returned one row, then simply put that single figure in the brackets
SELECT * FROM wp_posts where id in (value1, value2, value3)
The header row that you want to delete should be returned using this query. Look at the POST_NAME column to determine which row to delete. Hopefully it will contain part of the img name that is causing the problems. You can click the red "X" at the very left of a row, to delete that single row of data. Make a note of the number in the ID column for the row that you delete.
Run the following query, replacing "post-id-value" with the value you wrote down in the previous step (ie. the row that you deleted)
SELECT * FROM wp_postmeta where post_id = post-id-value
This will return multiple rows from WP_POSTMETA that are related to the data contained in the WP_POSTS table. There will most likely be 4 rows returned. You can delete these 4 rows.
You should now be able to return to your WordPress Dashboard and hopefully when you view the APPEARANCE > HEADER menu option, the offending header will no longer be there.
If all worked well, pat yourself on the back and go have a coffee! ;-)