Knowing how to change a string on your acoustic guitar is one of the basic guitar skills you should obtain. It's something that every guitarist should learn how to do. It's really quite simple.
You should change strings periodically, depending, of course, on how much you play. It's recommended to change them after about 30 or so hours of playing. You don't have to wait for a string to break in order to change it. Strings wear out over time, even without playing. Worn out strings sound duller and are almost impossible to properly tune.
How To Change An Acoustic Guitar String
Here is a very nice eight minute instructional video on how to change an acoustic guitar string. It will show you step by step how to remove the old string and replace it with the new one.
Here are the tools you need:
New strings (obviously)
String winder (optional)
Pliers
Remember, the easiest way to take a string of is to use a string winder.