What you need is generically called a "screw extractor", more commonly known by the brand name "EZ-OUT". Jetbill described it above.
If you work on cars long enough, you will eventually need several of these.
BTW, to prevent this from happening again when you remove the bolt, always use anti-seize on header and exhaust bolts.
'03 CD Silver SVT Focus 5-door, #2001 of 2173
(and a '89 Mustang 5.0)