The large nut holds the axle onto the wheel hub. The rotors are held on by rust generally. Just pull the caliper mounting bracket off (the two large bolts) and tap the brakes off, everything should come off easily. Start tapping around the edge of the rotor, rotating it to tap it loose evenly and it should break loose. Be careful not to damage the wheel hub stud threads, they can be fixed if you do screw them up.
The hardest part is getting the wheel hub itself off. Some people recommend not removing the ABS sensor because junk can get in it and mess the bearing up early. Also don't add grease to it, it just won't work. Get some anti-seize and PB Blaster because you'll need both. Spray lots of PB Blaster around the top of the wheel hub where it contacts the brake shield and on the back where it sits inside the spindle, these are where it rusts most. You can use a bearing/gear puller to pull the wheel hub off but you have a good chance of separating the bearing and destroying it. The power steering method (for me anyways) did not strain my power steering pump, so it did no harm. You simply back the 4 hub bolts off on the back about an eighth of an inch or so, place an 18mm / 3/4inch socket plus an extension on it and you turn the wheel until the extension contacts the frame or something, essentially pushing on the bolt. Don't back the bolt off too far as you risk bending it and do it evenly around the hub, pressing like hell on one bolt will not push the entire bearing out, go smoothly.
You might have to yank on the axle to get it out, but don't yank it up and down or side to side, just in and out. There is a seal that the axle goes through when it passes into the differential carrier, if you damage this you will leak gear oil and changing that out is a few times harder than doing u-joints. Be careful when reinstalling the axle, don't damage the seal! The best way to install the axle is to gently slide it in the axle tube until it stops, then gently pick it up until its center in the tube and slowly push it in until you find that it passes through the seal.
Changing the u-joint itself is simple, remove the C clips, press the caps and reinstall. I put some anti-seize on the u-joint caps when reinstalling them too, I really don't like rush and would rather use a hammer to remove the caps anyways, presses give me bad feelings at times.
Also anti-seize the wheel hub when you put it back on, clean up the rush where the wheel hub contacts the brake dust shield and clean the rush off of the spindle where everything contacts, then apply the anti-seize and reinstall. Its best to apply the anti-seize on the part you are installing and not the surface where it contacts, don't apply it to both surfaces either, it does nothing "extra."
When you are checking your u-joint it should swivel freely on its own weight. So when you reinstall the new one, grab the axle shaft in your hands and rotate it, it should swivel freely and you shouldn't have to force it to move. Temperature can play a role in this also, but if its really hard to get that thing to swivel you should probably check it over again. A little resistance can be fine for new u-joints.
Getting the C clips to seat can get annoying, I had to put mine on my press a few times and gently push the joint from side to side to give me room.