The type of ignition system you have in your water heater will determine how the thermocouple gets replaced. In either type of ignition, standing pilot or electronic, the thermocouple will be part of the burner assembly. With a standing pilot you will just have a pilot and thermocouple attached to the burner assembly as seen in the above photo. With an electronic ignition you will have a pilot, thermocouple and electronic igniter attached to the burner assembly.
For older style water heaters, the burner assembly is easily lifted out and removed from the bottom of the water heater once the connections are removed from the gas control valve and the burner cover panel is removed.
For newer water heaters using electronic ignition systems you will still have a burner cover panel but will also find a well sealed burner manifold cover plate with a small view window.