In the literature headaches seem to go together with IVIG treatments.
After 3 years of 30 grams of IVIG infusions every three weeks at home, for my multi-focal motor neuropathy condition, I have never experienced a headache, or other side effects, due to the IVIG treatment.
The one factor that I religiously follow is to lie prone during the IVIG infusion. I never, ever sit up during the procedure.
Most of the time I try to sleep during the 3 hour IVIG drip session and stay completely calm.
The body is getting an extreme shock due to pumping in what it senses as a foreign substance, so it is extremely important to relax the body and tell it everything is okay.
Other medications may interact with the IVIG chemicals, so check to see if other drugs you are taking may be causing the IVIG to give you the severe headaches.