It's a good idea to change out the automatic transmission fluid at regular intervals. For specifics on that, consult your service manual or owner’s manual. It's also important that you use the correct fluid. Some manufacturers use a specific fluid in their transmissions; stray from this recommendation, and you could damage your transmission. Some transmissions have a replaceable filter. It's a good idea to replace this filter at the same time you replace the fluid, but it's not always required. Once again, check the service manual for your vehicle’s specific requirements. Here are some videos on changing transmission fluid on a variety of different vehicles. Perhaps one of them can apply to your vehicle.
Changing the Transmission Fluid and Filter on a Full Size Rear Wheel Drive GM :
2004 Toyota 4Runner Transmission Fluid and Filter Change (Part 1):
2004 Toyota 4Runner Transmission Fluid and Filter Change (Part 2):
Changing Automatic Transmission Fluid and Filter, 1997 Subaru Legacy (Part 1):
Changing Automatic Transmission Fluid and Filter, 1997 Subaru Legacy (Part 2):
How To Change Honda Automatic Transmission Fluid: