The overhead squat is like an air squat except you are holding a barbell overhead. It is very important that you be familiar with the movement without weight before adding weight overhead. At heavy weights, the overhead squat requires a tremendous amount of core strength.
The barbell is usually gripped with a wide grip to allow the bar to remain directly above your feet as you squat down. This usually means that the barbell will actually be behind your head, and requires a decent amount of shoulder flexibility. Hold the weight overhead with the elbows locked and shoulders actively shrugged towards the ears. The weight should remain directly over your center of gravity during the entire movement.