I've installed the klarna payment gateway plugin
Unpacking the package…
Installing the plugin…
Plugin installed successfully.
and when I click "Activate plugin" appears this message "The plugin does not have a valid header." Thanks!
That error is presented by WordPress when a plugin is missing some standard information that identifies it, what it does, etc. But that's not the problem here.
From the fact you got that error, it seems you tried to install the archive as a regular WP plugin, but it's not a plugin at all. It's a module for WP-Ecommerce and has an entirely different installation process.