There's a huge range of normal when it comes to losing baby teeth. Although most children lose their first tooth at 5 or 6, some start as young as 4, and others won't get to meet the Tooth Fairy until 7. Your child will usually be the first to know when a tooth is loose because she can feel it moving. Most kids are very proud when they have a wiggly tooth and will want to show it to you (and anyone else willing to look), so prepare yourself if you're the squeamish type. It's totally fine for your child to play with her loose tooth -- most kids love to move them around with their tongues. Just remind her to wash her hands before putting them anywhere near her mouth.
You'll probably be relieved to hear that most parents do not have to intervene and actually pull a baby tooth, since they tend to fall out naturally during a meal or while your kid is absentmindedly wiggling it. But if the permanent tooth has broken through the gum underneath, you may need to help matters along so this new tooth doesn't become damaged by the old baby tooth rubbing against it. Before pulling your child's tooth, wash your hands thoroughly and always use a clean piece of gauze to grab it (expect to see a little bit of blood). If you're not up to the task, many school nurses are happy to yank out a loose tooth if asked nicely by a nervous parent.