This will show you what to look for regards a quick-link set-up - if you have one. If not - use a good, solid chain-tool. I just gave my 3-Spd. a new chain (along with a new drivetrain). These are excellent!

Quick-link:

http://bicycletutor.com/quick-release-chain-link/

SRAM chain:

http://harriscyclery.net/itemdetails.cfm?ID=686