this could be a problem with your neck even something simple like a muscular strain in your neck can cause similar problems. there is also a type of headache triggered by exercise. for exercise induced headaches i usually recommend starting with aerobic exercise only for a very short time (just long enough to feel a very mild headache) every day and gradually increase the length of time you are exercising. if this doesn't really help you would need to see someone at your student health center (and they might need to refer you to a neurologist)
i am a college student and wonder what could be causing headaches during exercise?