On mine i press the the phone button on the headset and the Voice Control thing starts. Then just tell it what you want to do and it will start the app etc.
Interesting ... My headset also has a button. But when I press it and hold it does not do anything. Holding it down will start Voice Control if a phone is unlocked.
When I hit the button I hear the beep for voice control and then say like "Rowi Tweet" for the Rowi app and it starts up. Then beeps again and I say what i want to tweet and then I can hit send.
I have the Motorola ROKR's before this and it worked as well while it was locked I could do voice control etc. I just got these Creative's for Xmas and so far everything control wise seems to work for me.
Depending on what style you want (Wired, Wireless) etc you may just have to try a few you like and see which ones work. Stay away from wired headsets aimed towards the iphone as it's been discussed that the plug style is different and not all functions will work on those.
I have not tried any Wired Headsets but I have tried the Motorola RoKR and the ones I have now Creative WP-450's and both allow voice control.