So occasionally I will be flying my rc helicopter and I turn it left to right (rudder) but see nothing moving on the helicopter. On an aircraft there is a vertical stabilizer that has a moving rudder. So how does a helicopter work? The same thing occurs with my quadcopter.
In helicopter, the yaw control is usually obtained by adjusting the pitch of the tail rotor, that changes the 'thrust' produced by the tail rotor; this rotates the helicopter about its yaw axis.
In case of helicopters without a tail rotor, the yaw control is obtained in different ways. The NOTAR used a method similar to the tail rotor, by varying the thrust. In case of tandem rotors (like Chinook) , the yaw control is obtained by differential lateral cyclic.
The quadcopters obtain yaw control by adjsuting the speed of the rotors. In quadcopter, two rotors (say 1 and 3) rotate in one direction, while the other two (2 and 4) move in the other. By slowing down 1 and 3 while speeding up 2 and 4, you can make the quadicopter yaw to the left. The torque of 2 and 4 spinning to the right makes the body spin to the left. Conversely, by slowing down 2 and 4 while speeding up 1 and 3, the quadcopter yaws to the right.
In case of coaxial helicopters like the Kamon Ka-25, the yaw control is obtained by varying the torques (i.e. by varying the pitch) of both the main rotors simultaneously in opposite direction.
Coaxial helicopters (like Kamov Ka-25) do have movable rudders like aircraft for use in forward flight as it reduces the main rotor adjustment required and is more effective.
Ka-25 rudder, image from travelforaircraft.wordpress.com
The image below shows the control methods used in different types of helicopters.
Image from unicopter.com, credited to Rotary-Wing Aerodynamics.
Helicopters do not have rudders.
They have tail rotors. You yaw left and right by varying the pitch of the blades, therefore varying the thrust they generate to counter the torque from the main rotor.
Some helicopters use "NOTAR" (NO TAil Rotor) or ducted fans. The duct is rotated with the anti-torque pedals which varies the horizontal component of the thrust.
Quadcopters yaw by changing the speed, and therefore the thrust, of the rotors individually to "bend" the quadcopter.