I used to have extremely painful sinus headaches as a very young child on up until 16 when a doctor finally suggested a different route to take. Instead of a cold compress which made it worse, another doctor suggested that I use a very hot compress over my eyes and nose which immediately alleviated the headache within 15 seconds or so!!!
What I do now is to take a washcloth and saturate it in hot water. I squeeze out most of the water and fold it over twice, lie down in the couch and put it over my eyes and nose and temple area. When it starts to cool down too much I repeat the process until the headache is totally gone which may take 5 minutes or so. If there's nobody there to help you repeat the process I take a pot of water heated up on the stove by the couch so I don't have to get up and run to the bathroom or kitchen to do this. This form of alleviation works for what the doctor used to call a "sinus" headache. F
or stress headaches I usually use the acupressure method which was mentioned by another person. This methodology was a Godsend. I used to suffer vicious headaches until I was sixteen. I hope this helps other people.