Two different types of anode rods:
Some anode rods are connected to hot water nipple See/ Read <> This type of water heater uses the 'combo' anode rod, and anode is removed by removing hot water nipple with pipe wrench. Owner's manual will show parts list <> see list of water heater manufacturers and brands to find manual.
 
Other water heaters have  anode rod installed in anode-port located on top of water heater. This type of anode has hex head that unscrews as shown illustration above. This type of anode may have accessible port where anode can be removed, or  metal cover on top of tank may need to be removed for access.

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How to replace anode rod:
Tank water must be cool or scalding water will spew out when anode is loosened.
1) Turn off gas or electric to heater, 2) Close water shutoff valve, 3) Turn on hot water faucet to relieve pressure, 4) Open drain valve near bottom of tank, 5) Open bathtub faucet to let air into water line, and drain 2 gallons of water What if tank won't drain? 6) Remove and replace anode rod 7) Fill water heater with water until tub spout is running full stream 8) Open TP to bleed last air from tank 9) Turn on gas or electric power. 

Rod will be rusted in place, use generous amount WD-40 <> WD-40 spray is flammable and will burn so be careful around heat source. Loosen rod slowly and check that water does not seep up because hot water can spew out hole. Some anode rods are too tight and cannot be removed.

Install new anode rod: One source says/ use pipe compound on thread instead of teflon tape. Most sources say use teflon tape. Either way, tank metal and anode metal must meet, so rod will work, so don't over-apply thread sealant. Some say 6 wraps of teflon tape. Test if anode is connected correctly to tank by testing continuity between anode head and pipe nipple. Continuity test should show current passes freely between steel tank and anode rod nipple or hex head.