When you select "Different first page," anything you entered into the header will now be in the main header (shown on page 2 onwards). Similarly, content in the footer will be shown in the main footer.
If you temporarily add a second page, for example by adding a manual page break, you can copy the main header (and/or footer) and paste it into the first header (and/or footer).
Also, remember that each type of header (and each type of footer) must be separately linked/unlinked from its "neighbor" of the same type in the preceding section. (If both "Different first page" and "Different odd and even" are selected, each section has three headers, and three footers: first page, odd page, even page.)
See also http://wordfaqs.ssbarnhill.com/HeaderFooter.htm.