Remove the showerhead - Use two pliers to remove the old showerhead. Protect the finish of the shower arm and showerhead by placing a rag between the fixture and the pliers.
Use one of the pliers to hold the shower arm and the other to turn the showerhead counterclockwise to unscrew it. Avoid putting too much pressure on the the shower arm as you turn it. It is relatively easy to break pipes in the wall as you unscrew the showerhead unless you hold against the pressure.
Prepare the shower arm - Clean the threads of the showerarm. Remove any old Teflon tape and any hard water deposits. Apply Teflon tape to the threads of the shower arm. To make installing the showerhead easier don’t apply Teflon tape to the first thread and make sure to wrap it clockwise.
Install the new showerhead - Screw the new showerhead onto the shower arm. Take care to avoid cross threading the showerhead and tighten it by hand. Turn the water on and check for leaks where the showerhead joins the shower arm.
If you spot any leaks use pliers to tighten the showerhead about 1/4 turn. Remember to use a rag to protect the finish and to hold the shower arm with pliers as you turn the showerhead with the other pliers. Don’t overtighten the showerhead as this can break or damage the fixture. If the showerhead still leaks remove it and use a little more Teflon tape on the shower arm. Also, double check that the the showerhead is screwed on straight and not cross threaded.