Generally, brake calipers are very reliable, and require replacing a lot less often than pads and discs, but if you have to change one, here's how to do it!
There are numerous different brake fitments, but in the majority of cases, cars are fitted with single piston sliding calipers which are generally fitted the same way. The caliper is connected to a carrier which is connected to the car's hub. While you can replace calipers individually the pads and discs always need to be replaced in pairs across the axle.
Do not attempt to change the caliper unless you either know what you're doing, or you have expert supervision. You cannot take risks with any element of the car's braking system.