Well if you are talking specifically about Histamine for instance, the receptors are not so much in the brain as scattered about the body, and the presence of histamine was found through the study of the bodies immune response system.
Histamine was identified as a chemical produced during an immune response, and from there they were able to identify which parts of the body were sensitive to histamine.
All of this research comes down to identifying a marker for a protein most commonly that the body produces in response to a particular stimulus, and then identifying where in the body that marker is most prevelant, then trying to figure out why :)
Again, for antihistamine specifically, you might find this article of interest;
http://voices.yahoo.com/what-histamines-why-we-them-491407.html