un bolt old one from exhaust pipe then unbolt it from the engine. Take it off and whne putting a new one on it is a good idea to change gasket and manifold bolts.
EDIT: I have a '94 Jeep Cherokee with the same Inline 6 4.0L engine as is in yours. With mine, I had to remove the intake manifold, you will probably have to do the same.
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Undo front pipe from manifold. Remove the bolts holding manifold to the cylinder head. Take manifold to machine shop to get it planed straight. Reverse proceedure to install. You will probably have broken bolts (very common problem on this vehicle) so they will need to be extracted. Not the job for at home unless there are no broken bolts but the rearmost bolts usually are broken.
if it is just a blown exhaust manifold gasket it can ruin your valves, so replace it correctly and make sure everything is clean before putting on the new gasket
Remove the intake manifold, exhaust manifold, and then remove the head. Scrap off the old gasket and install a new one. Reinstall the head and Torque the head bolts in the proper sequence. Reinstall the intake and exhaust manifold torque the bolts to the proper torque. This is a major repair and not for a novice to try.
Metallic donut/metal flange type
Valve cover gasket
I wouldn't recommend it. Replace the gasket.