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Is a pre-processor command the same thing as a header file?

Bon = good
oui = yes
non = no
nous mangons gateau = we eat cake

In short no, a preprocessor command is indicated by a # at the beginning of the line such as
#include <iostream>
#define ROTR(x,n) ( (x>>n) | (x<< (sizof(x)-n) ) )
#ifdef WIN32_LEAN_AND_MEAN
#pragma comment(lib,"dx3dx")

preprocessor directives can be included in both code and header files, the link should help you more

No
=
The C++ preprocessor runs before any other compilation happens. Commands given to the preprocessor allow the programmer to define variables, perform text substitution, and test simple conditions.