When you switch headsets you need to press the cups of the headset into the headtube of the frame. This is usually done with a special headset press but most people do it with a hammer and a couple of blocks of wood. I am not a fan of doing this way and would recommend you take you frame and new headset to you LBS and have them just press the cups in, everything else you can do yourself.

You will also need to change the stem if your going from a threaded steerer tube to a threadless, as they both use different styles of stems.