The PE file format is used for executables in Windows, like progams and DLLs, but also for some other data like .FON font files.
The PE header is the header of the file, which contains the basic information about what the file contains.
The CLR header is a data block in a PE file, present if the file contains a .NET assembly. The CLR header contains .NET metadata that the CLR loader uses.
More reading: http://en.wikipedia.org/wiki/Portable_Executable#.NET.2C_metadata.2C_and_the_PE_format