I can't add anything but a code example to the other two answers: however, I find it can be useful to see it in action (the other answers, in my opinion, are better because they explain it).
DECLARE @testLeft TABLE (ID INT, SomeValue VARCHAR(1))
DECLARE @testRight TABLE (ID INT, SomeOtherValue VARCHAR(1))
INSERT INTO @testLeft (ID, SomeValue) VALUES (1, 'A')
INSERT INTO @testLeft (ID, SomeValue) VALUES (2, 'B')
INSERT INTO @testLeft (ID, SomeValue) VALUES (3, 'C')
INSERT INTO @testRight (ID, SomeOtherValue) VALUES (1, 'X')
INSERT INTO @testRight (ID, SomeOtherValue) VALUES (3, 'Z')
SELECT l.*
FROM
@testLeft l
LEFT JOIN
@testRight r ON
l.ID = r.ID
WHERE r.ID IS NULL