So many different types of CO2 systems out there now, I'd hate to tell you one way and have it go horribly wrong for your situation.

Most kegs in the US are now "ball tap", and they just "twist on", and a handle folds down to depress the ball and allow the beer to flow. While you are new at this, you may want to turn off the CO2 (its noisy while escaping) when you switch from old keg to new keg.

Also, Glycol systems are now all the rage, and I have no idea what their deal is.