Tub spouts are generally connected in one of 2 ways--they screw onto a threaded nipple or they are slip fit onto a piece of copper and held in place with a set screw.
If it is a slip fit, there will be a small opening for an allen wrench on the bottom of the spout at the tub wall. Loosen the set screw and gently twist the spout off. If it has an IPS connection, there will be no opening. Care should be taken when removing this type of spout. If the fittings inside the wall have not been properly secured during installation or if they are particularly tight, you can cause damage to fittings and piping inside the wall when removing.