How do install delta shower
If you are looking to replace only the shower head, you'll need two plumber's wrenches, a cloth, and Teflon tape.
First and foremost, read the install instructions that come with the new shower head...
After you clearly understand what the instruction's say, shut of the water supply lines for the hot & cold water.
Take one of the wrenches and apply it to the neck of the water supply tube coming out of the shower wall (a.k.a. goose neck or supply nipple, or arm, depending upon the design). It'll have male threads (the threads are on the outside of the fitting). I would place a cloth of some sort around it before placing the wrench on it so you don't mar the finish of the water supply tube.
Place the second wrench on the shower head assembly (which has the internal, female threads). and unscrew it by turning the shower head assembly counter-clock-wise (to the left) while holding the water supply nipple with the other wrench.
You need to do this, so you don't snap or deform the water supply nipple coming out of the shower wall- and/or possibly causing leaky damage to the fittings behind the shower wall.
To replace the shower head, you reverse the removal process- the only difference is, you wrap Teflon tape around the male threads of the water supply nipple before spinning on the new shower head.
Somethings to be careful of, and I can't stress this enough, DO NOT cross thread the new shower head onto the water supply nipple. You should be able to screw it on the new shower head by hand- where it is hand tightened- then using the double-wrench method that you used to take off the shower head, turn the new shower head an additional half to three quarter turns with the wrench, clock-wise; and I mean gently.
Here's a nice short video on the subject, illustrating my instructions: http://youtu.be/fiv4Zq9v4co