There are a number of nuts securing the wheel to your car. To remove the wheels, you first have to loosen these lug nuts, which can be removed with the matching lock key. However, if you don't the key, a number of options are available. A car shop often will often have a stash of common lock keys left behind by car owners, or you can loosen the lug nuts at home.
Chock the car's wheels and use a screwdriver to pry off the wheel's centre cap. Try to loosen the lug nuts with a socket or torque wrench. This task may be made more difficult if the nuts have frozen over.
Alternate between tightening and loosening the lug nut while hammering it with a rubber mallet. Be careful not to scratch the wheel as you do this. You can also try using a pair of vice grips if you're dealing with a particularly stubborn lug nut. Try applying some WD-40 or Liquid Wrench beforehand.
Remove the lug nuts and place them in a handy basket as you proceed to replace the wheel.