Where to get it?

You only need the file fancyheadings.sty which you can find at the CTAN sites: ftp.shsu.edu (U.S.), ftp.tex.ac.uk (U.K.), and ftp.dante.de (Germany). You will find it in the directory
/tex-archive/macros/latex209/contrib/fancyheadings. Although fancyheadings is a 2.09 style file, it will work with LATEX2e. Also this article and the two packages fixmarks and extramarks can be found there. (The code for these packages given in this article is a simplified version.)