How do you remove an exterior door on a house?

If you just want to remove the door, simply unscrew the hinges.
Be careful, it will be pretty heavy.

If you want to replace the door and frame as a unit:
Take the door off the frame by removing the hinges.
Remove the trim (moldings) around the interior and exterior of the door frame.
Cut the door jamb completely through at about waist hight.
It doesn't matter which side you start on, it just makes the frame easier to remove.
Pry the door frame you've cut away from the studs.
Once you get one side out the top and the other side will come out easily.
The threshold will be stuck down pretty well, you'll need a big pry bar to get it up.

Okay, now you've got a big hole in the font of the house.
Have you ever put in an exterior door before?