depends, diffeent types. what brand name is your faucet?
some screw on
push on
have a plastic piece that screws on the spout and set screws on the pipe
or just set screw
knowing the brand would clear the fog
I would, grab the sucker, turn it till the set screw lines up. then remove/replace
if, that did not work, or it wont turn, use a hack saw cut the end of it off, so you could get to the set screw