You have to replace the whole assembly along with the wiring through the conduit. On the bright side it's easier to do than you'd think and LED's look much better since they can be white where incandescent are yellow. Your pool will look bright blue at night instead of green.

Basically you cut the old light cable off, tie the new cable onto the old one and use the old cable to pull the new one up through the conduit. If you ordered the right voltage (12v or 120v) light it should just be a matter of screwing things in after that. An hour, maybe much less.