Do your sprockets look like this:



or this:



Top one is a freewheel, bottom is a cassette.

It sounds like, from what you've written, that it's a 6-speed cassette, which would make the bike pretty old (early-mid 80's?).

If this is so, then the thing that the cassette screws onto is called a 'freehub' and on these models, the smallest sprocket also acts as the lockring.

What kind of bike is this, anyway, and how old is it?