Locate the knob on the shower fixture that you must loosen to remove it. Regardless of the style of handheld shower you have, the knob is located directly at the wall where the fixture attaches to the water pipe.
Unscrew the shower fixture by turning the screw-on knob counter-clockwise. Whether plastic or metal, you should be able to loosen it by hand. If it's too tight, wrap a rag around the area and loosen it with a wrench. The rag prevents the wrench from scratching the fixture.
Look for the rubber gasket. If it's not attached to the piece you removed, it will be stuck to the pipe. Pull the gasket free and insert it into the fixture.