People are like sheep, if you are athouritative enough, they'll follow. -Coco Chanel. (Paraphrased)
The plural of sheep is also sheep -it doesn't change and you can't add an '-s' to it. It's just one of those weird nouns, just like advice and series.
Here's a longer list of such nouns: http://myenglishgrammar.com/list-1-singular-and-plural-nouns/638-the-singular-and-plural-forms-of-some-nouns-are-the-same.html
Hope this helps.