I can't speak for Jenny in particular, but for pretty much every fashion doll, it's a vinyl head with a hole at the neck. Not a lot to it.
Attached to the neck is the knob that holds the head on, kind of like this:
http://www.flickr.com/photos/elizabethplaid/5109112472/Although a lot of modern dolls will have some prongs to make pulling the head off harder. (This is a Barbie body in the picture, the prongs have been cut off.)
You can heat the head to soften and slightly expand the vinyl so that it's easier to yank off the knob, though I often don't because I don't feel like messing with hairstyles and Barbie heads (mostly what I'm bodyswapping) are pretty soft.
Once the head's off you really don't need to do anything to it, there is no hook in the head or anything like that. Just shove it onto your body of choice.