Build the frame to accept the header. This requires two king studs and two cripple studs -- one of each on each side of the opening. The king stud on each side of the opening extends vertically from the bottom plate all the way to the top plate. The cripple stud on each side of the opening extends from the bottom plate to the top of the opening.
Install the header so that each end is butted up against a king stud and resting on top of a cripple stud. The four sides of the opening are then defined by the inside faces of the sill, the two cripple studs and the bottom face of the header.
Nail the header into the wall frame by driving nails through the king studs and into the ends of the header.