What version of SFDC are you using and what is your Profile level? If you are in a community, check out this link for the settings needed in order to turn on the setup header:
If you're in an odd Catch-22 situation and need to access setup, but can't, try accessing it directly from this link after substituting your instance's server name where you see "[SERVER NAME]":
Anytime, Ryan! Please don't forget to mark this issue as solved if that answered your question. If it did not, let me know what I'm missing and I will be more than happy to help you find a resolution!
https://help.salesforce.com/apex/HTViewHelpDoc?id=networks_enable_global_header.htm&language=en_US
If you're in an odd Catch-22 situation and need to access setup, but can't, try accessing it directly from this link after substituting your instance's server name where you see "[SERVER NAME]":
https://[SERVER NAME].salesforce.com/setup/forcecomHomepage.apexp?setupid=ForceCom&retURL=%2Fhome%2Fhome.jsp
Additionally, please see below for a snippet from SFDC's release notes on the subject:
http://docs.releasenotes.salesforce.com/en-us/winter14/release-notes/rn_186_networks_view_global_header_perm_off.htm
I hope this helps to point you in the right direction!