Just unscrew the original.
Screw the replacement screw onto the bridge plate;,
Place the spring over it;
Screw it into the saddle piece.
If replacing the height adjust screws, just remove the original grubs and put new ones in.
Make sure you have a screw with the right thread and a suitable length, a reasonable sized head and preferabbly with a matching finish to the bridge (basically make sure you get the same as what is already in there!)
Simple!