Is it new? Some of them are tricky on where you have to press it, and how hard. Generally... the lower right hand corner of the actual LED window. Press pretty firmly
Expose the gauge and you'll see a little black sticker on the side. Peel it off and apply compressed air to the hole to pop the plastic face off. Lift out the pcb/screen and the battery is underneath. I believe it's a 2032 cell. Put everything back and snap the face back on, running your finger around the edge to seat it.
Mine is leaking between the metal and the window material on my new Leshiy. I'm waiting for Brian to send me a analog gauge to swap it out. Other than that i'm loving my new gun.