93PGT:
Not a header guy here, sorry, but I might be able to help with the EGR. You have a couple of choices: keep the EGR or ditch it. If you remove it, you need to have things turned off in the tune or you'll get the pesky CEL light. Randy Stinchcomb at Liberty Ford can fix you up with a delete kit but you'll still need a tune adjustment. If you keep it (I would, it helps with mileage and keeps NOx in the tailgas down), then you can get a new EGR tube from Randy or your local Ford parts counter.
To install headers, the "easiest" way is to remove the k-member. This gives much better access than jacking up the engine (one side at a time). I will try to hunt down some header installation articles for you. It's been done by quite a few people and there are some good how-to articles lurking on some Mustang sites.
***edit: You know, you might need a tune tweaking because the LT's tend to leave the O2 sensors cooler than the stock exhaust. This can give you some idle quality problems. So... if you find that you need the tune tweaked for the LT's (rather, the O2 sensor delay table) then you might just go ahead and delete the EGR. Depends on how "green" you want to be, lol.
*** end of edit
HTH,
Chris