should look something like this when pulled apart:
The top right thing is pressed onto your fork
The bottom two are the cups pressed in your headtube with the bearings in it.
and the top left are the 2 locknuts.
From bottom to top: Top right, bottom right, bottom left, top left.
The problem could also be a bearing not fitted right, maybe its upside down or something. Its pretty obvious how to put them in.