First off, this type of headache, prompted by exercise, is called an "exertional headache" or "exercise headache."  Running is known to cause exertional headaches, and lifting weights is another common cause.  Generally, exercise headaches cause pain (lasting from 5 minutes - 2 days) on both sides of the head.  They may even cause nausea.

What might be contributing factors?
-Hot weather
-High altitude
-Caffeine
-Alcohol
-Dehydration

How serious is this?
-You should know that, while they can be very irritating, these headaches are not medically serious. -However, these headaches still should be properly diagnosed, as they could possibly be a sign of something serious (potentially bleeding in the brain).  In fact, over 10% of people with exercise headaches may have a serious underlying condition, so you should talk to your doctor...especially if you've never had a headache like this before.
-It is probably nothing serious if the headache leaves within a few hours and there are no other neurological symptoms
-A doctor might recommend a MRI exam if your headaches do last longer than a few hours, if they begin very suddenly, if you are older than 40, and if you have accompanying symptoms (including nausea).  This MRI will help the doctor to verify that there is no serious underlying issue.

How can I treat this?
-Normally, these headaches leave on their own.
-If treatment is necessary, the medication "indomethacin" may be helpful.
-Aspirin and ibuprofen may also be effective.
-Actually exercising regularly can help to prevent exercise headaches (funny as that sounds!), although it may be best to avoid the specific circumstances in which your headaches tend to arise.