I don't know for sure. If it happens on just one side of your head and happens at other times aside from exercise then it might be something that you should talk to your doctor about.

Some simple precautions for your cardio is to not hunch up, (i.e. tightening the muscles around your head and neck) avoid clenching your teeth, and putting your chin on your breastbone, this can all cause a headache in itself. Drinking enough water is goes with out saying, and so does a good warm up to prevent a headache that would be caused by a quick change of blood pressure. Some dynamic and passive stretching before your workout can help deal with any tight muscles that would otherwise hinder your workout.

If you still experience headaches whenever you exert yourself even after taking precautions than this is definately something that you should see a doctor about. Perhaps Scrap has something that he can share from his understanding in biomechanics that can shed more light on this. It could be simple, or it could be something else, nonetheless you gotta do something about it.