Header Macro with a list box

I would create a userForm with the Options that you want. then in the Workbook_BeforeSave
place this code

Private Sub Workbook_BeforeSave(ByVal SaveAsUI As Boolean, Cancel As Boolean)
    Cancel = True
    UserForm1.Show
End Sub

The userform would have Listbox containing your choices. Use the Listbox click event to set the header

Option Explicit

Private Sub ListBox1_Click()
    Dim sHeader As String
    With Me.ListBox1
        If .ListIndex > -1 Then
            Select Case .ListIndex
                Case 0: sHeader = "Confidebtial"
                Case 1: sHeader = "Private"
                Case Else    'allow close without setting header
                    Unload Me
                    ThisWorkbook.Save True
            End Select
        End If
    End With
    ActiveSheet.PageSetup.CenterHeader = sHeader
End Sub