Headers connect to the exhaust valves on your heads and expel the exhaust gases from the motor.X-Pipe or H-pipe is just after the headers. These help with the acceleration of the gases being expelled from the motor (A nice X-pipe with give the 4.6 a good tone as well. IMHO X for a 4.6 and H for 5.0)
Catback is the section from the X or H pipe with the mufflers. It should be mandrel bent with some good mufflers for sound and performance.
My suggestion:
You probably don't need headers right now. Don't bother with it.
X is you have a 4.6 and H if you have a 5.0.(IMHO)
Mufflers are plentiful. Listen to some and see which ones you like the best.