The headlight can be turned on with the a press of the button on the side of the controller. The controller is the thing with the power button and the "+" and "-" buttons. On the right side of the controller there are two buttons. One of those buttons is the headlight button.
From the manual:
By pressing the button, the controller will turn on the headlights and the display backlight will turn dark; by pressing the button again, the controller will turn off the headlights and the display backlight will resume its luminance.