This will depend on your specific phone, but you have to go into your Settings, find the Lock Screen section, and change the lockscreen type there. Note that not all phones support all lock types, although 'swipe' or pattern are pretty common ones.
Also, if you have a Device Administrator active in your phone (for example, added a work Exchange account) that might be enforcing a certain level of security or lock screen type. If that's the case, you won't be able to change the type to something that doesn't comply with that policy.