Floyd Rose (RG series, Jem, Universe, etc...): you'll need to loosen the screws (with an allen wrench) that old the string to the guitar (there should be one on the bridge and the nut, which is inbetween the neck and head of the guitar).
With other types of bridges once you unwind the tuning peg the string should slide out easily (unless it got tied on one end for some reason).
** or just cut the ball off the string... you don't need it for the old string anyway ** :)
