For starters, look under the end of the arm to see if there's a little metal tab that slides back and forth on a pivot pin. If there is, lift the blade off the windshield about 6 or 8 inches, then slide that tab under the arm. That will hold the arm up when you let go of it and let you wiggle it. Pull up on that end while you wiggle the arm up and down gently. All you're trying to do is irritate that connection so you can slide the arm up off the splined shaft.
If there's no tab, look for a small hole going through both sides of the arm an inch or two from the shaft. For those, you lift the arm off the windshield, then stick a small finishing nail through there to hold the arm up. New arms come with those pins in them already. They're normally discarded once the arm is installed.
Some just have to have the splined part of the arm pried up with a special pliers. To install them you just position the arm on the windshield, then push it down onto the shaft. Pushing on it will straighten the end out against spring pressure and push it onto the splined shaft. I've seen people try to pry that type up with a big flat-blade screwdriver but it's never a pretty sight. Stuff either gets scratched or you run the risk of cracking the windshield.