Welcome to TFP!!
The high limit sensor is a thermometer which will turn off the heater if the temperature gets into an unsafe range. I'm going to guess it's a skinny metal object with a couple of wires coming out the end.
Was the water actually hot, of did it throw the "HI" code immediately upon being turned on?
First things first, safety. Make sure all power is turned off to the spa before you begin fooling around with it. Trip the breaker to make sure.
Have you opened up the side of the spa? Once you do you should see the pump or two and lots of pipes going in many directions. Somewhere in there there are usually a couple/few valves to shut off the water flow to/from the tub. Close them or when you pull the old sensor it's goign to look like a squirt gun with water coming out the hole.
OK, power off and water valves closed. Look around for the heater. It's gong to be a metal pipe in the water flow after the pump. Just past it you should see the Hi limit sensor screwed into the side of a pipe with the wires leading to the control board. Unscrew the old probe and install the new one. Now, follow the wires back to the control board (which may be inside a closed box, you did turn off the power - right?), unplug the old one and plug the new one in it's place.
If any of this seems overly confusing or you are uncomfortable preforming the steps you may want to talk to a professional to change it for you.
