The theme header is constructed in the function themeheader() of the theme in question. You will find this function in the file theme.php, in the folder themes/YourTheme (where YourTheme is the name of your theme, e.g. themes/NukeNews).
Section 14.3.1
Section 14.3.2
Section 14.3.3
Section 14.3.4
Section 14.3.5
Section 14.3.6
Section 14.3.7
Section 14.3.8
Section 14.3.9
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Chris Karakas, Maintainer PHP-Nuke HOWTO