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It's really only four bolts that connect to the rotor housing. I did it to my fc this summer and it took an hour cause the bolts were rusted to hell but it should be a quick 20 minute job.
Depending on the headers you buy, they should just be a bolt in replacement that go to your cat. As for the air PUMP, thats the thing that has a line going into your cat to help warm it up so the exhaust will pass through without chunks. Some headers like the Racing Beat variety will come with a block off plate. Though if you live in a state where smog doesn't matter, just delete the cat and air pump and save yourself some trouble. There will also be an opening on your air box that needs to be capped off should you choose to remove the air pump.
you must have a special engine..
The rotary only uses ONE header!
(so if ya got 2 in the box they sent ya extra and ya can make money sellin the other one!)