If they're anything like other Ford products you simply push the lock button on the side of the shaft guide and hold it in while lifting the headrest straight out...
William,to remove the headrest,just pull it up as far as it can go,then push the button,( the button is near the seat you should see it), and pull it up.The headrest should pull all the way out then. Sorry mark, while I was typing and messing around you answered it right.
On the '07 ST you need to insert a small finishing nail or paper clip into a small hole where the right headrest shaft goes into the seat frame. That and depressing the left 'button' where the left shaft goes into the seat frame should do the job. I ran into the same problem when I installed seat covers on my '07 ST.
My '05 ST had only the button on the left side. The '07 needs to be released on both sides.