I know I need a 10uf capacitor but what should I get (electrolytic, how many volts)?
25 volts is plenty. However you need a non-polarized electrolytic.
You can either buy a non-polarized electrolytic or make one.
You can make one by putting two polarized caps in series but with both + ends connected in the middle. When you do this, the series value of each cap (assuming they are the same value) is halved. So, to get 10uf non-polarized, put two 20uf electrolytics in series and connected in opposite directions.
Such as -----====+-----+====----
I also need a 2k ohm resistor but at what watt rating?
Your 2k resistor can be a 1/4 watt.
And with the programming header, do I need to solder the parts to it?
If you use a 1/4 watt resistor, you can just push the ends into the holes. If your caps have small enough leads, you can push the cap leads into the holes. Or you can buy a solder header that fits the socket and solder everything on the back of it. The jumpers on my SignaLink USB are pushed in.