If the headband you are talking about is one of those that are more flimsy then simply use a few bobby pins. They are very effective and will stop your headband from falling out of you hair, well at least they should.
Hair is non-living tissue except at the root. Hairs are constantly breaking off and being replaced by new growth.
If you have a disease or condition which stops the growth of the hair roots, your...
Your hair keeps on falling out because of 1+ of these reasons: you are stressed (listen to music? set your priorities straight?) you are not using the right kind of shampoo/conditioner (find hair...