You unscrew the cap from the non laser end, insert batteries, screw cap back on.
The battery fits inside of a holder in an open cavity that is in the center of the unit. That said once the battery is installed in the holder it is held in place by the negative terminal spring tension. Just push down and pull out the battery holder to remove. Reverse for instal.
Brandon B’s answer is incorrect. If an attempt is made to unscrew the magnet end, it will end in despair because it doesn’t unscrew on the SM39014. I don’t know about the other one with the arbor. If you gently turn the side opening toward the floor, gentle manipulation of the battery compartment inside will free it from the body. Sorry Brandon, you probably have the unit with the arbor. I almost listened to you, I’m glad I saw the other post, because there’s a vice grip in front of me. I’ve had this piece of garbage for 24 hours and can’t believe I had to look online for a solution. Sightmark is plebe garbage, but hey I got what I paid for!