That kind of stem/headset design is called "threadless" and actually is the regular design nowadays.

Look on the Parktool website repair tips section under headset service for pretty easy to follow directions on how to put the parts together and adjust. There are several variations of threadless headsets, but the principles are the same. If you have any questions, repost, most people here are familiar with them. If you understand how they work, they really are very simple to deal with.