you need a chain break tool. cheap ones cost about $15, but if you have he bank, get a park tool for $35, they are indestructible.
to use it, put the chain onto the tool (pretty self explanitory) and turn the arm until the pin contacts the rivet on the chain. turn slowly but dont push the rivet all the way through! pull the pin back out, bend the chain a little (side to side) and the chain will come apart. the end with the wider links should still have the rivet in it.
to put it back together, do the same in reverse. dont do this too many times, as it does damage the chain, thats why most new chains come with a "master link" that slides apart instead.
if you dont get it, dont worry, they come with instructions. if you want to buy one, i suggest you order it from a bike shop (unless they have one in stock). if you order it through them, you wont have to pay shipping.