How do you replace a windshield wiper arm?

On most of the cars I've owned (in UK) there is a cover on the end of the arm that lifts up exposing a threaded shaft that the arm is attached to. Undo the retaining nut and ease up the wiper arm. It may be tight as it is on a spline. You may need to tap it with a soft mallet to free it, or use some WD40 or similar. When replacing be careful to line it up on the spline in the correct place or you may not get the correct sweep on the windscreen (as we say here).