Remove the mattress and box spring from the bed frame. You need to turn the frame over or at least lift it up, so removing the additional weight of the mattress and box spring will make this task easier.
Turn the frame over or on its side. Examine the attachment mechanism for the wheels to the bed frame. Frames generally come with plastic sockets that secure the wheels in place.
Pull the wheel up firmly, straight out of the sockets. The wheels fit snugly inside the sockets without any bolts or screws.
Tap the wheel lightly with a hammer if the wheel gives you any trouble. A light tap should loosen it enough that you can pull it out of the socket.