There's a roller link somewhere on the chain that's held to the adjacent links with a C-clip that can be popped out with needle nose pliers. Once you get that off, you can disassemble as much of the chain as you need to. When you put the clip back on (the link with the removable clip is called the master link), make sure that the end with the opening faces away from the direction of travel, just to be on the safe side.
EDIT: Is there anything that adjusts the tension on the chain? If so, just set that up then.