Some are in a housing that you unscrew. Others are right inside the power supply (they don't expect you to change those ones but you may be able to).
Warning!
Even when they have been unplugged for some time a power supply can hold quite a jolt so be very very careful if you do open it up. Let it sit unplugged for 24 hours to maximize your safety if you do choose to open it up.
Warning!
I wouldn't do that. In actuality I wouldn't even recommend opening the power supply up unless you have some type of electrical background. However if you do plan on cracking the power supply open, try this instead:
1. Unplug the power supply from the electrical outlet but leave the power supply installed in the computer for now.
2. Unplug all other components that independently draw electricity. This way the computer has no electric power going to it what so ever. This includes but not limited to the monitor, speaker system, cable/DSL/router modem, and any USB components that draw it's own power.
3. Press and hold the power button and slowly count to 10, then release.
4. Remove the power supply and open it up at your own risk.
Hope this helps. Please stay safe.