doc: add note about header values encoding

PR-URL: nodejs/node#42624
Fixes: nodejs/node#42579
Co-authored-by: Antoine du Hamel <duhamelantoine1995@gmail.com>
Reviewed-By: Matteo Collina <matteo.collina@gmail.com>
Reviewed-By: Antoine du Hamel <duhamelantoine1995@gmail.com>

doc/api/http.md

@@ -979,6 +979,17 @@ or
 request.setHeader('Cookie', ['type=ninja', 'language=javascript']);
 ```
 
+When the value is a string an exception will be thrown if it contains
+characters outside the `latin1` encoding.
+
+If you need to pass UTF-8 characters in the value please encode the value
+using the [RFC 8187][] standard.
+
+```js
+const filename = 'Rock 🎵.txt';
+request.setHeader('Content-Disposition', `attachment; filename*=utf-8''${encodeURIComponent(filename)}`);
+```
+
 ### `request.setNoDelay([noDelay])`
 
 <!-- YAML
@@ -3387,6 +3398,7 @@ try {
 }
 ```
 
+[RFC 8187]: https://www.rfc-editor.org/rfc/rfc8187.txt
 [`'checkContinue'`]: #event-checkcontinue
 [`'finish'`]: #event-finish
 [`'request'`]: #event-request