Enable CORS in wordpress

I’m trying to enable CORS in wordpress and I’ve placed this line of code in my header.php file

header("Access-Control-Allow-Origin: *");

Then I tested to see if it works via this page http://client.cors-api.appspot.com/client

The response I get is:

Fired XHR event: loadstart
Fired XHR event: readystatechange
Fired XHR event: error

XHR status: 0
XHR status text: 
Fired XHR event: loadend

I’m not sure what I’m doing wrong here, anybody able to help me out?

Thanks