This Makita jigsaw does not use any set screw fasteners to secure the blade in the saw. It has a "tool-less" blade retainer, so all you need to do to remove (or install) the blades, is to twist the small knurled ring nearest the blade shank.
Be sure to unplug the jigsaw first and with the blade shaft fully away extended from the saw, (you can just pull it out by hand if needed) and then simply twist the round locking ring and then with your other hand, pull the blade out of the jigsaw.
I would suggest that you use a glove on the hand you're going to pull the blade out of the jigsaw with, as those blades can be very sharp with the jagged cutting edges, etc.
Here's a parts breakdown of the jigsaw, for your reference and for obtaining any replacement parts you might need in the future.
Makita doesn't have an owner's manual listed on their web site for this product. You will need to contact Makita directly to obtain a free replacement manual for your product. You can contact them at
1-800- 4MAKITA (462-5482)
Hours: Monday through Friday 8am - 6pm (EST)
I hope you find this Very Helpful and best regards!