Very stupid, or very slow to understand — with the extra idea that the person's head is solid, so nothing gets in. It is an insult, and quite a blunt one. It is not the cold clinical "low intelligence"; it is the exasperated feeling of explaining something for the third time and watching it bounce off. Because of that, it is used most often about a particular moment or a particular refusal to see, rather than as a permanent judgement: How can you be so thick-headed? Don't be thick-headed — just read the instructions. Register: informal, spoken, and rude enough that you should not say it to a stranger, a colleague, or anyone senior to you. Between close friends it can be teasing, and people also say it about themselves, which is safe and rather charming: Sorry, I'm being thick-headed today — say that again? There is a second, much rarer use meaning your head feels heavy and unclear, from a cold or from drinking too much — I woke up thick-headed — but the stupid meaning is the one you will actually meet. British English often just says thick with the same force.