If your sprinkler head is a pop-up type and set into the ground, you will have to dig out surrounding soil about 6" deep until you find the point the head joins the water line beneath. (If your system is on a valve with the timer off you shouldn't need to shut off the water. Just make sure the timer isn't set to switch it on during the time you are working on the irrigation line!)
Twist off the old sprinkler head from the base. You may need a wrench to turn it. If you try to turn it from the top you'll likely end up just removing the top part of the sprinkler only. This is useful to clean out the sprinkler head, but not for removing it!
Since the lines may still be filled with a little water, the hole may fill up when you screw off the sprinkler head. If that happens, wait for most of the water to sink into the ground so you can see what you are doing.
If the hole gets filled with mud, turn on the sprinklers for just a second to blast out any material that might have gotten into the pipe. If the hole fills again, you can always stuff a rag into the pipe to keep mud or stones from re-entering.
Screw the new sprinkler head back on. You can use plumbers tape but it really isn't necessary.
Turn on your timer or turn on the water at the valve to test for leaks.
Then fill the hole back in and your are set to go!