Before you do anything with the chain
@ItsSteveLovell check you actually should be changing it first. As
@RWright said there are cheap chain wear gauges out there that could save you a lot of money without needlessly changing chains that are still within acceptable boundaries.
The one I bought the other day was a park tool one, £9.99 from
Evans (
http://www.evanscycles.com/products/park/chain-wear-indicator-ec006000) Absolutely no reason to buy anything more expensive. It has two sides, a .5% and a .75% side. You stick one end in a gap between two links, and if it drops all the way in you have crossed that threshold. .5% is still ok, just keep an eye on it, if the .75% side drops in it means change the chain!
As for changing it, depends what chain you have. If its Shimano or Campagnowhatsistsname you will need a chain tool to push the pin out / new pin back in. You can buy these sperately, or they often come as part of a multitool like mine (
http://www.evanscycles.com/products/topeak/hexus-ii-multi-tool-ec023024) This also comes with integrated wheel levers for changing tyres!
If you have a KMC chain like mine then REJOICE! You don't need any tools, just find the master link (called the missing link bizarrely in KMC's case) and you will see a notch, push the side you can see to the right, and the side behind to the left while squeezing and it comes apart there. To lock a new one just do the reverse with its master link.
But dont go changing chains for the sake of it, just when the chain is stretched to that .75% mark. Its good advice to keep an eye on it though, its by far the cheapest part of the chainset to replace, and if you dont change it when necessary, it can do damage to the chainring or cassette.