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Turn the knob counter clockwise to remove it and clockwise to replace it. The "boot" is more then likely attached to the console that surrounds the shift lever.
There is a torx screw on the same side as the button, unscrew it half way and lift up the shift with the boot.
http://www.gmpartscheap.com/seccat/cavalier-697/2003/shift-boot-41002/124/
If it is a manual trans.take the screws out holding the shift lever boot on. Slide the boot up the gearshift. there will be a bolt holding the lever on, take that out and pull on the lever. you may have to get a little rough with the lever to get it to come off once the bolt is out.
Pull down on the shifter boot. It should clip out. Then start twisting the knobe off... Left losy righty tighty
lift the boot up and there is a set pin take that out and its off.... future references.... coloradofans.com has eveything you need to know
pull the shift boot down. loosen the jam nut under the shift knob then unscrew the shift knob.
You should be able to depress the sides of the silver ring to remove the boot. After this is done just unscrew the knob. The new one can then be threaded.
The snap rings that hold the shifter in place have popped out and you will need to remove the boot to put everything back where it belongs.
Pull up the shift boot, on the right rear of the shifter body is a button that you press in and hold while you shift into gear.
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What boot are you referring too?