I'll assume you have one of the generic wireless headsets that come in many skins, but are all based on the Microsoft design. I've had one or two of these, and I agree the interface for connecting them isn't so obvious. Luckily, MS has a pretty good article on it here.
The key info is:
If a controller is connected to the first quadrant, the system will associate your wireless headset with the first quadrant. If another wireless headset is already associated with the first quadrant, your wireless headset will be associated with the second quadrant.
If you want to associate your wireless headset with a controller on a different quadrant, press the connect button on the wireless headset. This manually advances the quadrant to match the quadrant of the controller that you want.
For example, to associate your wireless headset with a controller that is connected to quadrant 3, press the connect button three times within 20 seconds of when you started the connection process. You will hear one beep from the wireless headset if you select the first quadrant, two beeps if you select the second quadrant, and three beeps if you select the third quadrant.