Turn off main power:
The first and most important part is to switch off the power at the main switch. The main switch controls the flow of electricity to the entire place and it is the safest thing to do. There is usually a large red button near the fuse box. You have to switch it OFF.
Let the old bulb cool:
Bulbs which have been running and just went off are usually hot due to electric power. If you are changing the bulb immediately, wait for it to cool down first. For bulbs which went out some time back, you do not have to wait.
Get the height:
Arrange for a ladder or chair that will enable you to reach the light. However, choose something stable and strong enough to hold your weight. Get to work only when you are secure enough.
Take off bulb:
Bulbs come with either a bayonet mount or a simple screw fit. For the bayonet mount, you have to push the bulb upward in the socket and then turn it in an anticlockwise direction. It will come off. For a screw fit, keep turning the bulb in an anticlockwise direction and it will leave the socket.
Now that you have an empty socket, you can install a new bulb. The installation depends on the type of socket you had, previously discussed. It can be either Bayonet or screw fit. Turn the bulb in a clockwise direction inside the socket until it no longer moves and fits in. Your job is done.
With the new bulb installed, you can safely turn on the main switch power. Dispose of the old bulb safely with great care. You can conveniently put it in the pack of the new one before disposing.