Does the MQH header file can be compiled into a format EX4 and attach to the project?

No you are thinking of libraries which start as an .mq4 file, are then compiled to .ex4 in the experts\libraries folder

You can then reference them like

#import "SFXSettingsLibZR411.ex4" 
    int LoadStaticsFromLibrary(string sSymbol, double& GetEAValues[]);

#import

-BB-