In order to replace the thermocouple, remove screw holding the thermocouple to the font of the engine, and the screw holding the fairlead to the exhaust nozzle. The thermocouple plugs into a the circuit board under the front cover. Simply unplug the old, and plug in the new. Re-install the fairlead and the screw at the nozzle.
Go through the recalibration procedure, and you are ready to start the engine.

(Edited to remove "Remove the front cover)...I was wrong about that one....sorry John, thanks for correcting me.