There are two different types of head sets. The fist and oldest one is called a quill headset and will have a bolt right on top of the stem where it connects to the handlebars. Just watch the first few seconds where he removes the handlebars.
http://bicycletutor.com/overhaul-threaded-headset/
Here is how you adjust the threadless headset.
http://bicycletutor.com/adjust-threadless-headset/