You're correct, in that drifting the rear sight to the left in it's dovetail is the windage adjustment for zeroing that Henry.
If it's anything like my little Henry was when I removed the rear sight to install a slot filler blank (when installing a peep sight) - you're gonna need a much heavier hammer, mount the rifle solidly in a bench vise, and give the brass drift solid whacks to get it to move at all.
BTW - don't forget to first add a strip of masking tape around the barrel either just in front or in the rear of the sight before drifting it (and mark it w/pencil) - so you'll know what the sight's starting position was, if it goes for a little high jump when you whack it good.
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