> The steps outlined above, are if you want the health bar to float above or overlapping the player sprite(Depending on the image point of the sprite). If you simply want it on the top "GUI" layer, and stationary in one position. It should work, the way your first post mentioned.
I don't want the health bar to stick on top corner of the interface, I just want it to stick on top of a player when the player is moving to any place
Alrighty. So the steps that 
KryptoPixel laid out would be perfect for this instance. You can adjust the image point on the health bar, or make another image point on the player character to pin it to. Then make adjustments to that point's orientation in the sprite editor, to position it in relation to your player, where you would like it to be :)