I've changed this watch's bands twice, and both times it took me a while to figure it out... [update: make it 3 times; the last one lasted less than 6 months!]

First pop off the silvery metal brace that covers the pin. Use a small screwdriver or a knife blade.

Then, remove the pin, using a combination of pushing it out with something thin and sturdy, and pulling it out with needle-nosed pliers. This last time, the pin i wanted to remove was gunked firmly in, and i had to use what felt like excessive force to pull it out. The pins are the usual spring-loaded watch band pins, but don't be tricked into thinking you only need to push the spring-loaded part in... you have to remove the whole pin.

Then replace the band, push the pin back in, and push the metal brace back in place.