There are no stupid questions, only stupid answers. This might be one.
On my dremel, there is a tiny screw which holds the rubber piece holding the sandpaper band onto the axle which goes into the dremel. I unscrew the screw, pull the rubber piece off (mine also has a couple of washers on the ends of the rubber piece--watch where those come from so you can replace them). Then I can wiggle the sandpaper band off, put a new on in its place, and reverse my steps.
What I don't know is if different dremel brands go together differently, or if there are parts which only fit one particular brand of dremel.
Good luck! Sorry I don't have any real pointers for you.
Unscrew the screw on the end a little bit farther out. Kinda walk them on... wiggle them... rock them. Don't try to push them straight on, is what I'm sayin'. When it's on there some, you can hold the band on the drum with two thumbs and two index fingers (imagine you are holding the tiniest sandwich in the universe... like that), and kind of pinch together to slide the band down on the drum. Does that make sense? Doing something simple is hard to describe in words!
Do you have Dremel brand bands, or some off brand?
Loosen screw and wiggle...wiggle...wiggle. I find once the screw is loosened a few turns, loosening all the way makes no difference. It has to be a snug fit like that for the band not to lose traction when working.