Answer:
You have it even if there is none.
A man goes out in heavy rain with nothing to protect him from it. His hair doesn't get wet. How does he do that?
What has fingers and a thumb but no hand?
Other terms for this handy device include doohicky, doo-dad, and whatchyamacallit.
What can you hold in your left hand but not in your right hand?
I am a room that has a roof but no walls. What am I?