The headshots must be from guns. You will start to see guns in Act 2 in the city. At first they will be rare, but then start to be fairly common (specifically when fighting human enemies). Also, this achievement does not count the humans, has to be zombies. The headshot must be the finishing blow, it does not have to be instant kills. You can shoot an enemy several times (or use other weapons). Just each kill must end as a headshot.

There are a few different methods to get this achievement:

In the city area from Act 2, run around on the streets until you see a bunch of zombies roaming around. Run near them and then jump onto a car. From here you can pick off the zombies very easily.
First kick the zombie you're fighting to the ground and then line them up for an easy headshot. It can be done with any gun, but a shotgun would work best (wider shot).
Another method is to join a friend at the very beginning of a new game with your high level character. The Level 1 zombies will easily die in a single shot.