No different to a regular server, at least it wasn't in the blade server we had in the lab at work. Shut the blade down, release it (just like you'd release a drive in a storage array) and slide it out.
From then on it's just a regular PC in a very small case..
Shouldn't need to shut it down. Being a blade, it'll be Enterprise class, thus 99% likely hot swap.
Hm.. our blades were obviously different, then
You couldn't get at the drives without taking the casing off the blade - and since the blade is the entire server.. I can't imagine Windows would have been too happy with the power being unceremoniously removed as the blade was yanked out 
Well these blades are running Red Hat, but as the whole service is fubared, the blade can be shutdown 
Built properly, a failed HDD shouldn't affect service on a server, unless they are using software mirroring....
It all went to poo when they ditched their hosting at rackspace to save money, services where brought in house and everything screwed up!
We are amazed its lasted as long as it has, I cannot get a Sybase Database to boot, it keeps corrupting chucks of the DB, the just disappear from the file system :-?
At first it was just one, now 6 chucks have gone! Just not listed there.... :-/
We got it all back, i left it alone, came back later in day and the database had died again, booting it again chucks had disappeared! :-/