Unplug the Roto Gobo from the electrical outlet.
Remove the four screws near the edge of the back of the Roto Gobo and slide the back of the unit outward. You now have access to the lamp and the gobo.
Pull the old lamp out of the socket and dispose of it.
Press the new lamp into the socket, taking care not to touch the bulb's glass. You may want to wear gloves when inserting the new bulb.
Pull the snap ring off of the gobo and remove the gobo from the unit.
Place the new gobo in the unit and reattach the snap ring.
Slide the back of the Roto Gobo back into the unit and reattach the four screws.