Firmly grip the nozzle between your thumb and index finger.
Turn the nozzle counterclockwise to back it out of the threaded socket.
Thread the new nozzle into the nozzle socket.
Examine the nozzle assembly and locate the valve rod. It will look like a large square bolt end sticking out of the nozzle assembly.
Fit an adjustable wrench onto the valve rod and turn it counterclockwise until it's loose. Back out the screw entirely using your fingers.
Pull the nozzle off the assembly.
Insert a new nozzle into the assembly and secure it with a screw. Tighten the screw using the adjustable wrench until it's snug.