Custom header links bar on my Wordpress blog.?

[chrish]

I need to put custom header links bar on my WordPress (v2.3.2) blog. The links I want are Site Home, Blog Home, About, Contact. I want these to appear on every page of my blog ie on Blog Home Page, About Page, Contact Page, etc.
Where and What changes do I need to make.

Can anyone suggest where I can edit to make the changes.

[BLove]

open the header.php file and edit the header links there