Add documentation for CLI header support

- Document --header flag usage with examples
- Explain header format requirements
- Clarify transport support (HTTP, SSE, not STDIO)
- Add authentication examples with API keys and bearer tokens

Author: philfreo

README.md

@@ -389,6 +389,9 @@ npx @modelcontextprotocol/inspector --cli https://my-mcp-server.example.com
 # Connect to a remote MCP server (with Streamable HTTP transport)
 npx @modelcontextprotocol/inspector --cli https://my-mcp-server.example.com --transport http --method tools/list
 
+# Connect with custom headers for authentication
+npx @modelcontextprotocol/inspector --cli https://my-mcp-server.example.com --transport http --method tools/list --header "Authorization: Bearer your-token" --header "X-API-Key: your-api-key"
+
 # Call a tool on a remote server
 npx @modelcontextprotocol/inspector --cli https://my-mcp-server.example.com --method tools/call --tool-name remotetool --tool-arg param=value