I can't be certain because I haven't done it, but I imagine it would go something like this:

1) Open an account at Vanguard/Fidelity/Schwab.

2) Tell your advisor that you're transferring the funds to that account.

3) Advisor sends you a check for the amount in your account.

4) Mail the check to Vanguard/Fidelity/Schwab.

5) Make sure the money is properly allocated into your desired stocks/bonds instead of just sitting in cash.

Note the following:

A) Your advisor will try to talk you out of it; and

B) You have a limited time to forward the check to your new provider (probably 60 or 90 days, I'm not sure, but either way do it as fast as you can in order to avoid paying taxes and/or penalty on it and to get your money back in the market as fast as you can.

The new provider will be able to explain the exact process in more detail.