Just done this myself today:-
1) Activating watch - do exactly as the label says! You will see an arrow pointing to the appropriate pin - use tweezers or wire to quickly "flash" that pin to the battery positive (I used the case of one of the inner two cells - easiest to get to).
2) The cover for the inner pair is released by using a pin to lever out the single clip on one side (the edge nearer the centre of the watch) The whole clip then unhooks from the other side (two hooks). The outer two batteries are similarly released, but each clip only releases from the one side - lever it up VERY gently and slide the battery out. I found it easier to replace these two before the inner pair.
3) If you have lost the seup instructions download the manual from:- http://world.casio.com/wat/download/en/manual/
Andrew
May 2009