Determine the correct replacement bulb. There are companies who supply replacement bulbs for most units, sometimes cheaper than from the equipment dealer. It's a good idea to always have a spare, or replace a bulb before it burns out and keep the old one for back up. In a lot of cases, old bulbs don't burn out, they just lose their spectral output, and exposures start to take longer and longer. When replacing the new bulb, wear cotton gloves.
Many bulbs come with a pair.
The oils on your hands will affect the glass surface of the bulb, and cause it to break or malfunction when it is heated. Be extremely careful you don't damage the bulb when removing it or putting it into the holder. Test that it is working properly after replacement. Don't ever look directly at an exposure lamp when it is on. I've seen all three happen, and all three accidents could have killed someone.