It's basically a transistor in the current's path, acting like a variable resistor, and so, it forms a voltage divider with the load. Read the links, then ask questions, when in doubt.
Actually you don't have to do to much in designing them nowdays, although if you really want to it can be done. Check out the 78XX and 79XX series, they are quite good.
The old LM723 is pretty obsolete, but it does all the basics.
And if all the parts above don't meet the current requirements, with the addition of a transistor they can be boosted to much higher values. One of my favorite sites for datasheets, where I got the above, is at http://users.otenet.gr/~athsam/database.htm
Think op amp with a voltage reference (zener) and a series pass transistor. Their pretty simple. If the current is low enough an op amp is a decent regulator all by itself.
That LM723 I mentioned was an early regulator chippie, broken down into modules internally. You want to study the innards of a regulator you can't go wrong starting there.
If you're interested in the discrete design for a pure transistor and zener regulator, i recommend the module 7 here: http://www.phy.davidson.edu/instrumentation/NEETS.htm
This is only to get the basics of how it works, current designs would use opamps to control the transistor. Look at the application notes on the LM317 regulator, to get an idea of how the modern devices work. This is only basic information, it would look easier than it really is.
I'm actually trying to design a variable power supply, but bumped upon problems with opamp frequency stability, that i hadn't learned before, and i'm reading about that.