The shaft is threaded on the end, and the wiper is held by a small nut
This is difficult to describe w/o a picture. The elbow part of the arm (right where it connects to the shaft) is a plastic cover. The cover is hinged on the side toward the tip of the wiper arm. The cover is held in place by snapping onto the end of the shaft. It can be a really tight fit to "unsnap" it. Pull from the rounded end of the cover (the opposite end from the wiper blade tip). Be careful. If it unsnaps and you pull too hard, you will break the cover off, and you will have to buy a new wiper arm because that cover is also the headlamp washer nozzle (I learned the hard, $80, way). You'll see what I mean when you unsnap the cover. The nut is under this cover. Unscrew and pull the wiper arm off.