currently, doxygen.sty contain the following:

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\lhead[\fancyplain{}{\bfseries\thepage}]{%
  \fancyplain{}{\bfseries\rightmark}%
}
\rhead[\fancyplain{}{\bfseries\leftmark}]{%
  \fancyplain{}{\bfseries\thepage}%
}
\rfoot[\fancyplain{}{\bfseries\scriptsize%
  Generated on Fri Aug 6 2010 11:53:27 by doxygen\lfoot[]{\fancyplain{}{\bfseries\scriptsize%
  Generated on Fri Aug 6 2010 11:53:27 by doxygen}}
\cfoot{}
-------------------------------------------------------------------------

even if latex is no complaining, the "\rfoot" command appears to be missing a closing "]". To improve readbility, I would recomment to change this to:

-------------------------------------------------------------------------
\lhead[\fancyplain{}{\bfseries\thepage}]{%
  \fancyplain{}{\bfseries\rightmark}%
}

\rhead[\fancyplain{}{\bfseries\leftmark}]{%
  \fancyplain{}{\bfseries\thepage}%
}

\rfoot[\fancyplain{}{\bfseries\scriptsize%
  Generated on Fri Aug 6 2010 11:53:27 by doxygen}]{}

\lfoot[]{\fancyplain{}{\bfseries\scriptsize%
  Generated on Fri Aug 6 2010 11:53:27 by doxygen}}

\cfoot{}
-------------------------------------------------------------------------

To improve readbility even further, I recomment using the following. It appears to be the most logical usage of the fancyhdr package and is easy to understand.

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\fancyhead[LE]{\fancyplain{}{\bfseries\thepage}}
\fancyhead[CE]{\fancyplain{}{}}
\fancyhead[RE]{\fancyplain{}{\bfseries\leftmark}}
\fancyhead[LO]{\fancyplain{}{\bfseries\rightmark}}
\fancyhead[CO]{\fancyplain{}{}}
\fancyhead[RO]{\fancyplain{}{\bfseries\thepage}}

\fancyfoot[LE]{\fancyplain{}{}}
\fancyfoot[CE]{\fancyplain{}{}}
\fancyfoot[RE]{\fancyplain{}{\bfseries\scriptsize Generated on Fri Aug 6 2010 11:53:27 by doxygen}}
\fancyfoot[LO]{\fancyplain{}{\bfseries\scriptsize Generated on Fri Aug 6 2010 11:53:27 by doxygen}}
\fancyfoot[CO]{\fancyplain{}{}}
\fancyfoot[RO]{\fancyplain{}{}}
-------------------------------------------------------------------------