Become a MacRumors Supporter for $50/year with no ads, ability to filter front page stories, and private forums.
At the base of the remote there is a small round button, use a pin or something similar to push on it and the whole end of the remote slides out revealing the battery caddy.

Et Voila!!
 
Did you read the instruction manual that came with the computer? It has a nice little illustrated diagram in there.

But it's quite easy:

1) Get something pointy, but not too sharp so you don't scratch it.
2) Use your pointy object to push in the little round button on the bottom of the remote (the thin end opposite the part where the signal comes out).
3) That will cause the battery tray to come popping out. Within is a standard coin-sized battery. Take it to Radio Shack or wherever, and buy the exact same battery (there's a number on it somewhere to reference) to replace it.
4) Put the new battery in, and you're done.

[edit: woah, two different responses while I was typing mine... too slow!]
 
thats what I've been doing but nothing happens when I press down on it. I hear a click but thats it.
 
Register on MacRumors! This sidebar will go away, and you'll see fewer ads.