Loosen the screw that holds the nozzle in. Lift the sprinkler with the adjustment tool. Hold it up with one hand and pry the old nozzle out. I use a small screwdriver. Careful to not damage the sprinkler. The adjustment tool can also pull the nozzle out.
They used to give away a tool that held the sprinkler up while you changed the nozzle. I think there was 1 per case. I never actually tried it. You can still get one but you'll have to shop around. It's on this page. Nozzle insertion collar.
www.hunterindustries.com/Products/Miscellaneous/accessories.html
I prefer the red nozzles.