Adding a Page/file to wordpress…

Ok I want to add some pages/files to my wordpress installation. How do I add a file to wordpress that can call and get data from the database and add it to wordpress. Right now if I tell a page I create to get the header or other data from wordpress it says the page can’t do that for security reasons, which is understandable, but its my site and I own it so how to I make wordpress reconize that its ok to let functions on this page make calls and other actions to the database?