Once the wheel is removed, there is nothing that is meant to lock the drum on. There are, however, a few things that can happen to keep the drum from coming off as it is supposed to.
If you cannot get the drum to move at all, it could be rusted onto the axle hub. Try liberally applying a penetrating oil, such as PB Blaster, and tapping around the wheel studs with a heavy hammer. It will eventually break loose. Depending on what brand of brake drum is on your vehicle, it may have 2 small threaded holes opposite of each other, in between the wheel stud holes. These small holes are for you to run bolts into to force the drum off of the hub.
Once you have a little bit of play with the drum, you still may not be able to remove it. As the brake shoes wear a groove in the drum, they form an unworn lip around the inboard edge. This lip will not pass over the shoes and prevents the drum from coming off. There are 2 ways to try to fix this.
You can try to back off the brake shoes. On the backing plate (back side of the brake assembly, inside the drum) you will find 1 or 2 oblonged holes that should have rubber plugs in them. Remove the plugs to find a small sprocket (gear). Pry this gear with a screwdriver in whichever direction is harder to turn. You should begin to get more play with the drum until you are able to remove it. Be aware that the sprocket is not meant to turn this way during normal operation, so be sure to thoroughly inspect the ratcheting assembly before reinstalling.
Another way to get the drum over the shoes is to use a dremel tool, or something similar) to grind the lip down. Be sure to remove the lip evenly around the entire circumference of the drum. You don't want to end up with a heavy side if you plan on reusing the drum. This will be out of balance and could result in a vibration while driving.
After you get the drum off (no matter how you did it) you should completely remove the lip around the drum to allow for easier reinstallation and adjustment of the shoes.
If you need any more information, just let me know.