sys.argv is the list of command line arguments passed to a Python script, where sys.argv[0] is the script name itself.
It is erroring out because you are not passing any commandline argument, and thus sys.argv has length 1 and so sys.argv[1] is out of bounds.
To "fix", just make sure to pass a commandline argument when you run the script, e.g.
python ConcatenateFiles.py /the/path/to/the/directory
However, you likely wanted to use some default directory so it will still work when you don't pass in a directory:
cur_dir = sys.argv[1] if len(sys.argv) > 1 else '.'
with open(cur_dir + '/Concatenated.csv', 'w+') as outfile:
try:
with open(cur_dir + '/MatrixHeader.csv') as headerfile:
for line in headerfile:
outfile.write(line + '\n')
except:
print 'No Header File'