Begin by using the spring loaded popup tool to raise the sprinkler nozzle and hold it in place.  This will allow you to work with both hands without having to focus on holding the sprinkler stem up.  

Twist the old nozzle from the stem and discard.  At this point you should also remove the filter and inspect the sprinkler stem for damage.

Each Orbit nozzle comes with a new filter and we recommend using the new filter whenever replacing a nozzle.  Simply insert the filter to the stem and screw the new nozzle into place.  To position the nozzle, just twist the stem until it is properly aligned.  Finish by testing the zone for a couple minutes to make sure everything is running properly and there is no excess overspray or runoff (which will result in wasted water).