We are mostly concerned with Shimano 8-9-10 cassettes. These cassettes are all one piece, the cogs are pinned permanently together, except for the last 2 cogs on an 8 speed, or last 3 cogs on 9 speed.

Procedure:
  Remove the lock ring with the special splined tool and chain whip. You want to loosen the ring counter clockwise, but to do that you have to hold the cassette itself from spinning. That is done with a chain ring, holding it with force clockwise.
 - Once the lock ring is released, the top two or three cogs are loose, plus spacers. then the rest of the cassette, which has the cogs pinned together.

Then there is the lock ring.

This video covers various others.
 - hold the cogs from turning clockwise, while turning the counter clockwise
 Turn

 - not the freewheel
 - he mentions cassettes that are separated by spacers
 - FR5 (a whole series of different tools)
 - has a trick of using the skewer nut to holt