You know the string retainer bar? Also known as the ‘dammit-I-forgot-to-put-the-string-under-it bar’. 
It’s that little thing on the headstock, between your nut and tuners. The strings install under it. 

You’ll find them most often on guitars with locking tremolo systems like Floyd Rose and Ibanez Edge bridges, and, on these instruments, it's important that it's properly adjusted.