I'm trying to use the
fancyhdr package for headers and footnotes for my LaTeX report, but when I compile TeX returns an error saying that
fancyhdr.sty file can't be found.
Any suggestion on how to proceed please?
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You can download fancyhdr here: http://www.ctan.org/tex-archive/macros/latex/contrib/fancyhdr/
To install it simply drop the sty file into either the location your packages are stored in or in the same folder as the document you're currently working on. Both should work.
If you tell us your OS and what Latex version you use, we might be able to also give you a way to install these more automatically.