The option to add headers and footers in Excel is found under the "Insert" menu. However, it's important to note that this specific option is not listed in the options you provided. Typically, you would go to Insert > Header & Footer to add this feature.
If you must choose from the options given, "Design" might be the best fit, as it often relates to the design aspects of the worksheet, but it's not the exact menu. For the most accurate procedure, remember it is under Insert.