For the 'square shemaghs:
1. Fold material diagonally, so it is a triangle in shape.
2. Put on head, longest side across your forehead, with other point down your back.
3. The locals secure theirs with a purpose made 'ring'- elastic works just as well.
4. Et voila! You can now tuck one of the points up into the loop/elastic on the opposite side of your head, wrapping it around your face. Then wrap the other point around your shoulders, covering your neck.
I have used shemaghs several times in the desert, and they are very effective at keeping your head cool, much better than a hat. Learn from the locals...
It is also possible to wear it without the loop:
1. Tie a knot in one end.
2. Put knot in centre of forehead, with all other material over your bonce.
3. Twist the material at the back of your head a couple of times, make sure it's tight.
4. Wrap the remaining material round your neck, face and tuck it into the main material on top of your head, on the opposite side to where it came over your shoulder.
Ok, but you don't get the advantage of the 2-layer/air gap that the first method provides. Looks cool, mind...