its all depends on what kind of bridge your guitar has
"There he goes. One of God's own prototypes. Some kind of high powered mutant never even considered for mass production. Too weird to live, and too rare to die."-Duke
First thing you do is take the old strings off. Loosen each one a little at a time, going over all the strings, so there's not too much pressure on the neck at any one spot. Pull the old strings off once they are detached from the tuning heads. Next, get your new strings out. Start feeding them through the bridge, all the way down to the tuning heads. Wrap the string around the tuning head 3-4 times as tightly as you can pull, then feed it through the hole in the tuning head. Hold it there and start turning till there's some pressure on the string, but don't tune it up yet. I go from lowest string to highest string to second lowest to second highest, working towards the middle. This will all be easier if you have a fixed bridge guitar (like a les pual), but a tremolo (whammy bar) bridge will make this a little more difficult when it comes to finally tuning it.