I Get These Headaches: Where Should I Go?

Hello,

I've suffered from headaches ever since I can remember. They start when I:

• Get too hot (which is happening more often now I'm in Thailand)
  
• Or when I over exert myself playing sport or similar
  

I can also get them for no apparent reason during the day or when I wake up but the above two are pretty much guaranteed to bring one on.

They feel like my head is compressed or my brain is too big for my head and any movement sends a dull ache through my head. They don't tend to go away until I sleep.

I've never managed to get a cure although not really tried many things. Back home they were fairly avoidable as I didn't do any strenuous exercise (just gym) and it never really got too hot and if it did I stayed still. Now I am in Thailand it is hot all the time so I'd like to get it sorted.

So I have two questions:

1. Any idea what it could be?
   
2. Who could I see to get it sorted out? Would a doctor help or should I go somewhere more specialised?
   

Thanks!