You pull out the MPU.
There are 6 or 7 chips that make up your game set.
On the standard board you have a Game chip, mxo,mro,mbo,mgo and a cap chip.
On the super board you have a program chip, game chip, mxo,mro,mbo,mgo and a capx chip.
You remove the game chip. This will be in a socket labeled game chip.
You insert the SET chip.
Put the MPU back in. Turn on the power and follow the onscreen instruction.
Many people will set the validator to 1c so you can put on 100 credits quickly for a buck but leave all the other settings for the game at 25c.
You then reverse the process and put your game chip back.
If you are buying a SET chip I would also buy A Clear chip.
The clear is used to put the game back to factory settings.
You can find instructions for the S+ in Ricks FAQs - bottom right of the home page.
The PE+ is basically the same systems architecture as the S+ and works the same way.
There is also an IGt game bible there that should list all the available games for your PE+