Setter with ghastly headache (6)
I believe the answer is:
megrim
'headache' is the definition.
(megrim is a kind of headache)
'setter with ghastly' is the wordplay.
'setter' becomes 'me' (the setter of the clue).
'with' means one lot of letters go next to another.
'ghastly' becomes 'grim' (I've seen this before).
'me'+'grim'='MEGRIM'
(Other definitions for megrim that I've seen before include "Low spirits and a flatfish" , "Type of turbot" , "Severe headache" , "Deep-water flatfish, I'm germ (anag.)" , "Fish" .)