Add example for API Key header configuration

docs/api_key_header_example.md

@@ -0,0 +1,14 @@
+from fastapi import FastAPI, Header, HTTPException, Depends
+
+app = FastAPI()
+
+API_KEY = "mysecretapikey"
+
+def get_api_key(x_api_key: str = Header(...)):
+    if x_api_key != API_KEY:
+        raise HTTPException(status_code=401, detail="Invalid API Key")
+    return x_api_key
+
+@app.get("/secure-data")
+def read_secure_data(api_key: str = Depends(get_api_key)):
+    return {"message": "This is secure data"}