The reticle and several lenses of a scope are mounted in what's called the erector tube. It's a smaller tube mounted inside the scope. When you turn the adjustment dials for windage and elevation, you're basically pushing that erector tube to the left or down. A spring (usually mounted at about the 7:30 position, though some scopes have two springs at 6 and 9 o'clock) keeps the erector pressed firmly against the contact points for the turrets when making adjustments.
Here's a couple fairly decent pics to give you a visual...
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