Don't feel alone - I do have pimples on my scalp too and nothing seems to work for it. I even tried not to wash my hair for a week or more - no success. I do find that when I squeeze them around a certain spot on my head, it multiplies in that vicinity. So, I feel for you!
Technically, what you are suffering from is probably folliculitis: an inflammation of the hair follicles on your scalp that presents itself with lesions that are much like (if not exactly like) acne lesions. There are ways to alleviate this...I would visit a dermatologist who can prescribe you either an oral antibiotic, an antibiotic shampoo, or both. Some might also give you a relatively mild topical steroiod. I do not know of non-prescription methods of healing this, but if you can find a shampoo with salacylic acid, that will probably help quite a bit (do not use benzoyl peroxide on your scalp, as it can bleach your hair!).
You may want to use products with tea tree oil or mix some tea tree oil in your shampoo. It has antibacterial properties that despite the actually cause of the skin issue may help.
Also, you can mix about a teaspoon of apple cider vinegar in about 32 oz of still water and use it as rinse after a you wash your hair. Do this at night so it can sit and really clairfy the scalp. Hope that helps.