How do you change a fuse link?

The fuse link is part of the wire that contains it. Unless there are connectors, which is doubtful, you have to change the entire piece of wire. Disconnect the battery and replace the wire. Before you do that, you should find and fix the problem that caused the link to fail in the first place, or it will blow again. Usually, fuse links are used between the battery and alternator, so this sounds like alternator failure.