In this case, the heads up is a warning about a potential danger or something that may affect the person's life in the future. If you give someone a heads up, it means you're trying to let the person know of a problem before it happens, hoping this will help the person deal with the issue in the future. For example:

- I really think you should read this text before going to class. There is a chance the teacher will give a pop quiz.

- Thanks for the heads up. I'll read it right now.