You don't say which brakes.

For the front Girling/Lucas single piston style (for ABS, which you likely have), the piston does have to come out as the base of the dust boot sits in a groove where the piston travels and you can't retract the piston far enough to get it out (it will tear if you try plus I don't know how you'd ever get it back in -I know). For tips on replacing the dust covers on the single piston front calipers, refer to the caliper replacement section of the 700-900 FAQ and scroll down a screen or so to my notes.

For the rear, the piston does not need to be removed. The dust cover has a hard plastic collar at the base. The collar friction fits into a recess in the face of the caliper where the piston comes out. Just retract it as far as possible then carefully pry the old one out. Make sure you don't score the piston in the process. If you want to get one out undamaged you'll want to use a small screwdriver without too sharp a tip and carefully work around the inside edge as best you can. The older design with the clip ring around the base was easier to remove, but far more prone to damage not the least of which was poking through it with the end of the clip ring.

Bonus Notes:

Rear pistons especially often get (partially) frozen, evidenced by uneven pad wear, brake drag and to a certain extent additional brake squeal. Brake drag is evidence by any significant resistance when hand turning the rotor (or wheel) after applying the brakes hard (some pad scuffing, especially on the high spots is normal). Brake drag is also evidenced by unevenly warm wheels side-to-side on the car after a long hard drive.

A thorough cleaning will normally fix a frozen piston without having to remove it. The best time to do this is when you're replacing the disc pads, but another good time is when you're replacing dust boots. You'll be amazed at how well this works and, if the seal isn't too badly worn you can keep this game up for a long time:
o Remove the dust boot.
o Extend the piston as far out as possible without breaking past the seal. Use something like the backing plate of a worn disc pad as a guide as to how far you can safely go without popping the piston (you can actually go about another 1/16"-1/8" if you like living dangerously).
o Clean the piston surface thoroughly and as deep into the recess as possible (with brake fluid). A stiff toothbrush and clean brake fluid is great for this. For troublesome areas, try cut strips from a worn Scotch scrubby well lubricated with brake fluid.
o Generously lubricate the piston with brake fluid.
o Retract it fully.
o Re-extend it.
o Repeat the entire cleaning process (perhaps 5-6 times) until the piston will extend without residual dirt showing.
o Extend the piston and clean up all external residual brake fluid. Spray brake cleaner fluid is good for this.
o Replace the dust boot making sure it is clean and undamaged.
o Scrape any dirt and rust from the top and bottom areas where the disk pad slides and file off any rust on the top and bottom edges of the disk pad backing plate so that the disk pad doesn't bind when installed (but it should not be a sloppy fit).
o To help reduce brake squeal, apply high temp brake grease between the steel shim plates and the disk pad plus a generous glob between the piston and the outer shim. Some people (and manufacturers) will also chamfer the leading and trailing edges of the pad and cut a water groove across the middle of the pad (which also serves as a wear indicator) to help eliminate brake squeal.
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Dave -940's, prev 740/240/140/120 You'd think I'd have learned by now