Modifying header.php but can't find it
If it's a core theme you will find it in 'root/concrete5/themes/[theme_name]'
A downloaded theme will be in 'root/packages/[theme_theme_name]/themes/[theme_name]'
If it is your own developed theme you most likely will find it in 'root/themes/[theme_name]'
Before you do any edits you should read these how-tos:
However: If all you want to do is add a breadcrumb to every page, just go to your site > edit > Add to Sitewide Navigation (it can added to any block area that already says "sitewide" or 'global") and add a Auto Nav block and save it. Then click on the block again and instead of edit... choose templates and select the Bread Crumb template already built into Concrete.