Answer:
You normally have to remove the steering wheel and take apart part of the steering column. If your car has an air bag in the steering wheel you will probably want to take it to a garage. A Haynes Manual for your vehicle would tell you how to do it or whether to attempt it.
Depending on the car, you might not need to take apart the steering column, but you will probably still have to remove the air bag and steering wheel. Often, there is a pin or some kind of interlock that you can push to remove the lock cylinder, but you can only get to it after removing the steering wheel. Again, see the service manual for the specific vehicle.