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A subheading is not the same as a subject heading! Although the terminology is similar, they are two quite different things.
Subject headings, or thesaurus terms, are 'labels' or 'tags' which are used to describe the topics covered by an article.
Subheadings are additional 'tags' which may be optionally added to a subject heading to make it more specific. E.g. you could have an article about mental disorders in people with diabetes which is given the subject heading 'Diabetes' with the subheading 'Psychology'. If you choose this subheading it will be displayed in the search history as: Diabetes Mellitus / px [Psychology].
Once you have selected a subject heading as part of your thesaurus search, click Continue and a list of possible subheadings relating to your chosen subject heading is displayed. Note that for some subjects there are no subheadings.
Use subheadings to search for a particular aspect of your chosen subject. In our search example, for the subject heading phenytoin you might choose the subheading Adverse Effects. Select the subheading(s) by ticking the relevant box.
For a more comprehensive search it is recommended to include include all the subheadings. To do this, tick the Include All Subheadings box.

Subheadings are an optional tool to narrow your search . For a comprehensive search you may choose not to specify subheadings. If in doubt, it is usually best to include all subheadings.
If you need to, you can always revise your search later and try including subheadings.