I'm sure there's millions of write ups and info out there on how to do this. But here it is anyway since it's easy to do and I just did this about 30 minutes ago. This was done on my 2000 Eclipse GT, but the same procedures work on just about any other car.
First off this was an automatic car, I had it in park and just used that to keep the front wheel from moving, the back wheels I'd use the parking brake (obviously) on a manual I believe you can put it in a gear and it'll hold it or you can just wedge a breaker bar inbetween the wheel studs and have it against the ground so the wheel doesn't turn.
Here we go.
1. Remove your wheel
2. Remove your brake Caliper from the knuckle and hang it up out of the way.
3. Now remove your rotor. I used an M8 (not sure on the thread I think it's 1.50) bolt to pop the rotor off.
4. Now knock the snapped off wheel stud out using a regular claw hammer, some people say wedge a block of wood in behind the wheel bearing so you don't mess up the actual bearings inside. This is my beater car so I didn't do that, I'd do it on my GS-T though. :biggrin:
5. Once the wheel studs are knocked out, put the new wheel stud through the hole on the wheel bearing.
6. Get yourself 3 washers and a 12M nut that will fit on the wheel stud and put them on like this.
7. Now use a ratchet wrench preferably one with a long handle, a Torque Wrench or a breaker bar (near the end) so you can have some leverage and turn the nut until the wheel stud is pulled flush against the back of the wheel bearing. Also you pretty much won't be able to turn the nut anymore once the stud has been pulled all the way through. If you have a torque wrench or enough leverage and you continue to try to turn it, you will snap the stud off and you get to do it all over again.
8. Now put your rotor back on, you can use your lug nuts to hold it up against the wheel bearing so you can install the brake caliper back on.
9. Put the wheel back on and you're done.
All credit for this writeup goes to: LionFire