Why does my head hurt when you work on my neck?

Referred sensation and pain from one area of the body to another is fairly common and it occurs all throughout the body.  In fact, this phenomenon is the cause of something called trigger points.
A trigger point is a small, hard nodule of tissue with the characteristic sign that when pressed, refers sensation to another area of the body.  Most of the time these referral patterns are predictable, but sometimes they are not.
When a trigger point is active, this means that even when no pressure is applied to an area, it will often be painful itself and will actively refer pain to other areas of the body.  Unfortunately, this can also stimulate latent trigger points to become active in those areas, causing further pain.
This means, if you have an active trigger point in a muscle in your neck, this could cause a headache (or a shoulder ache).
Fortunately, treatment for trigger points is usually straightforward.  Applying pressure to the trigger point and holding that pressure, though often causing referred pain, will often deactivate a trigger point, reducing or eliminating pain at the site itself and at referred sites.
This is part of why massage can be very effective in reducing aches and pains, it directly addresses trigger points, a major source of muscle pain and discomfort.
While the cause of trigger points is unknown, there are certain conditions which are known to cause active trigger points.  These can include exhaustion or overexertion of a muscle, remaining in the same position for too long (say, at a desk), repetitive motion, and of course, stress.