So you have the car on a level flat surface and the parking brake is applied.
Next you'll want to "crack off the wheel nuts"
That means just slightly undo them so that the initial pressure has been released on them.
Once released you can now begin to raise the car.
Ensure you have the correct type of car jack to lift your vehicle and is supporting the vehicle at the correct jacking points for your car
(see the owners manual if you are unsure where they are)
Once you have raised the car enough to just see a gap between the tyre and the floors surface you can now undo the wheel nuts fully or you can continue to raise the car enough so that you can place axle stands underneath the axle and then lower the jack so that the car is supported by the axle stand/s and then continue to remove the wheel nuts fully.
Once they have all been removed, then take the wheel off the car.
Some cars may require you to use a hammer on the inside of the wheel to loosen it off the hub of the car.
Once off, replace the wheel with a new one and replace the wheel nuts.
At this stage you'll only be able to tighten them to finger tight otherwise the wheel may spin and you will not be able to gain full tightness of the nuts.
Once finger tight you can remove the axle stand or lower the car jack so that the car is fully back on the ground.
Now fully tighten the wheel nuts.
If you have a torque wrench, tighten the wheel nuts to the manufacturers recommend torque.

You are now ready to replace your tools and get back on the road.