If you have a grip-nut headset (which I am assuming you do since the threadless type just slides right out), there should be a slit in the conical shaped ring. Use your fingernail or a small screwdriver an unscrew it. It helps to pry it open a little since it may have gotten contaminated over time.
As long as you greased your threads when you installed, it should come out with only a little coaxing.
-Jeff