Remove the cap on the top of the shower handle with the edge of a screwdriver. If there is no cap on your handle, just look for a handle screw.
Use a screwdriver or an Allen wrench, whichever the screw requires, to unscrew the handle screw, which is either underneath the handle cap or on the side of the handle. Turning the screw counterclockwise will unscrew it. Take out the screw, and set it aside. If you have a replacement handle with a handle screw, you will not need to keep this screw.
Pull off the handle knob with your hands. Or, attach a handle puller to the handle, and turn the center knob on the handle puller to pry off the knob.
Place the new shower knob on the stem of the faucet, which is the rod that sticks out from the front of the faucet. Insert the screw in the knob's screw hole, thread and tighten it with an Allen wrench or screwdriver.