Do you mean the Dewalt DW257 drywall screwdriver? For that model, you need to pull the adjustment collar forward. (This part fits over the drill bit to the clutch housing.) Remove the collar completely. Then using pliers, if needed, pull the drill bit tip out of the holder. Then put a new tip into the holder. Then snap the adjustment collar back over the retaining ring. See Figure 3 on page 2 of the manual (see below for a link) to see what the adjustment collar looks like.
If you want to replace the bit holder and the drill bit tip, pull the holder straight out from the drill. (Again use pliers if it is tight.) Then push a new bit holder into the spindle until the ball lock snaps into the groove of the bit holder shank. Put in the bit tip. Then put the adjustment collar on and make sure it snaps into the retaining ring.
These are the directions for the Type 3 DW257. The manual is available here: http://servicenet.dewalt.com/Products/Detail?isId=true&productNumber=DW257&selectedType=6793#
. From the Product Information tab, select your model type and the instruction manual will be shown in the right hand column, if it is available. The manual is available as a PDF; you will need Adobe Reader or a similar program to read the manual.
I hope this helps.