How Do You Change The Gas Tank Underneath The Grill?

You will need to first go ahead and turn the valve on top of the (empty) tank off (clockwise / to the right).
Next you need to get a wrench (an adjustable is best) and loosen the coupling on the end of the hose where it connects to the tank (it is normally brass.) You will loosen counterclockwise / to the left. One way to ensure that you are loosening the correct direction is to have the tank facing you with the hose pointing in your direction, when it is you could place the wrench on the fitting with your left hand so that the handle of the wrench is nearly horizontal on the left side of the hose; when it is you would apply force down. After you initially "break" the fitting loose it will become very easy to continue unscrewing.
After the hose is disconnected, you simply reattach the hose doing things in reverse order.
An important note - whenever you are not using your grill, always turn the valve on the top of the tank off. Often fittings may allow the gas to leak out slowly. Keeping the valve closed when not in use will help ensure that you don't wind up having to get refilled bottles of propane every time you want to grille.