Shut off the power at the breaker and turn off any other switches as well.
Remove the stainless steel screw at the top of the lighting fixture. Pry the fixture out of the wall by using a flat head screw driver or butter knife. You may need to wiggle the fixture a little because many fixtures have a tab at the bottom that holds them in place. Lift the light fixture out of the water onto the coping stone.
Open up the fixture by unscrewing any screws or clamps holding the glass lens cover in place. Use the right size screw driver so as not to strip any of the screws or bolts, especially if you're dealing with an older fixture that may have suffered corrosion due to water and chemicals. Gently lift the glass lens cover out of the fixture and set it aside.
Remove the light bulb by gently twisting it (usually counter-clockwise). Be careful not to break the bulb at the base, especially if you know it is an older bulb. You may want to cover the bulb with a thin dish cloth as you turn it. Use the dish cloth to wipe away any grime, moisture and dirt in the fixture.
Twist in a brand new bulb built specifically for your type of fixture. Your pool maintenance person can tell you what kind of fixture it is and bulbs can usually be purchased at any pool supply store. Turn on the power supply to test the bulb before reinstalling it into the wall niche.
Reassemble the fixture with the new bulb in place using a new lens gasket, which can also be purchased at any pool supply store (the lens gasket is the circular rubber piece that goes around the lens). Make sure all the screws are firmly in place and replace any severely corroded screws. Switch off the power again before replacing the fixture.
Place the light under water checking for any air leaks. A few small bubbles coming off the fixture ring is normal but you don't want any water getting inside.
Insert the tab at the bottom of the fixture into the tab receiver at the bottom of the niche and gently push the fixture into place. Replace and turn the screw at the top of the fixture to secure it completely.
Turn on the breaker and try the light one more time.