Self-contained header files in C/C++

I recently posted a question asking for what actions would constitute the Zen of C++. I received excellent answers, but I could not understand one recommendation:

• Make header files self-contained

How do you ensure your header files are self-contained?

Any other advice or best-practice related to the design and implementation of header files in C/C++ will be welcome.

Edit: I found this question which addresses the "Best Practices" part of mine.