Generally that is done using the .htaccess file on your host. Here is an example cut and pasted from HTTP cache headers with .htaccess
# WEEK
Header set Cache-Control "max-age=604800, public"
If delivering materials from a PHP shell you could use PHP to create the header in which case you would refer to the HTTP protocal outlined here section 14.9 Cache-Control http://www.w3.org/Protocols/rfc2616/rfc2616-sec14.html
I consider the .htaccess the easier of the two methods.