EDIT: I didn't note that this was for fancyheadings package. However, if you look in the package documentation, you'll find that the width of the header's rule in plain pages is set through the command \plainheadrulewidth. However, if you try to run a code with the fancyheadings package, you'll get this message:
Package fancyheadings Warning: Please stop using fancyheadings!
(fancyheadings) Use fancyhdr instead.
(fancyheadings) We will call fancyhdr with the very same
(fancyheadings) options you passed to fancyheadings.
Therefore, I'd suggest you to follow this advice and convert to fancyhdr :-) !
Answer:
You don't see a line because the first page of each chapter is by default in plain style. To have a header in these pages too, you have to redefine this style:
\documentclass{report}
\usepackage{fancyhdr}
\pagestyle{fancy}
% Redefine the PLAIN style
\fancypagestyle{plain}{%
\fancyhead{} %Clean headers
\fancyfoot{} %Clean footers
\renewcommand{\headrulewidth}{1pt} % Header rule's width
}
% Define the DEFAULT style
\fancypagestyle{MyStyle}{%
\fancyhead{} %Clean headers
\fancyfoot{} %Clean footers
\renewcommand{\headrulewidth}{1pt} % Header rule's width
}
\usepackage{lipsum}
\begin{document}
\pagestyle{MyStyle}
\chapter{First chapter}
\lipsum
\end{document}
However, take into account that this will change all your plain pages, such as the first page of Table of Contents, and so on.