There are two ways these are connected. One is by a grub screw, that is a screw that when tightened is either flush with the shaft and so hard to see, or is slightly recessed in the shaft which is a bit easier to spot, use an 'alen' or hex key to remove this first. Second way of securing the shaft is to use a 'Morse Taper' where the spindle is made to a taper which causes the taper on the shaft to lock to it. Identify which end of the taper is narrower [you may need to measure the diameter of the shaft to determine this as there may only be a few mm difference in the diameter on either end] then use a hammer and tap sharply from the larger end toward the narrower end..