Can someone talk me through changing the thermostat on my volvo 2002 ...

Just the plain ordinary seawater cooled version?

Looks straight forward enough.
Remove cover, lift out thermostat, fit new one replace cover using new sealing ring (#24) and probably new sealing rings (#15 and #16) on the coolant pipe

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As Vics said - I've taken my old one out and have the new one to fit.

I would say you will also need the new sealing rings, mine were shot. Item 15 and possible 16 on the diagram.
 
Remove bolts 18 and 19. You will also need to slacken off a bolt, not shown, that goes through the other hole in part 17, so as to be able to turn it round.
Then remove bolt 32.
The hole assembly comes off, with tube part no 25 still fixed to the thermostat housing.
 
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