Identify your guitar first
Classical guitars typically use nylon strings with tied ends; acoustic steel-string and electric guitars use their own suitable steel-string sets. Choose the set for your instrument. Slowly unwind an old string until tension is gone before removing it.
Change one at a time
Remove the old string and attach its replacement according to your guitar's bridge and tuner. Wind neatly without overlapping turns, bring it up to pitch slowly and tune. New strings may drift at first; retune after gentle stretching and playing. Carefully trim loose ends.
Can I put steel strings on a classical guitar?
No. Higher tension may damage it. Use strings designed for your instrument and ask a guitar shop if you are unsure.