The process of changing the fuse in Christmas tree lights is relatively simple. First, make sure the tree is unplugged and that you have a replacement fuse. Next, locate the fuse in the light string or light set. It will be in a small plastic case at one end of the wire. Carefully remove the cover and pull out the old fuse. Insert the new fuse into the socket and replace the cover. Then, plug the tree back in and test the lights to make sure they're working properly.