Prior to HTML5:
The anchor has to be inside the header, you cannot put a block-level element inside an anchor, and most browsers will not render it 100% reliably if you do.
It doesn’t matter, use whichever one makes the most semantic sense. Likely the first one.
Remember that if your document is using HTML4 DTD’s, it will not validate and may not render correctly because it’s using the old rules where an anchor cannot contain a block-level element. Only use the first option in HTML5. XHTML is equivalent to HTML4, I’m not 100% sure about XHTML1.1 though (try it and see if it validates).
If you’re using an HTML 4.01 DTD (Not sure about the transitional, but definitely the strict), then the anchor element must appear inside the header element. Check your doctype if you don’t know which DTD you’re using (assuming you have one, which you do need for oyur code to be considered valid). The HTML5 doctype looks like this:
The 4.01 doctype is:
<!DOCTYPE HTML PUBLIC "-//W3C//DTD HTML 4.01//EN" "http://www.w3.org/TR/html4/strict.dtd">
I’d also suggest familiarizing yourself with the DTD itself if you’re going to work with 4.01, it will answer all of these types of questions.