Generally speaking, you sell the investments, transfer the cash, and select new investments at the new broker. This is all automatic and does not create any taxes or penalties with the IRS. The gain (increase in value since you bought the investment) is not taxable as long as it stays in the IRA structure.
As pointed out, there are certain investments that might generate income tax that has to be paid from the IRA. We don't know what your investments are, so we don't know if this applies to you. Certain investments might have a "surrender charge" or a "back end load" which is something you have to pay when cashing out. Again, it is not a tax or penalty, but would reduce the amount you have to transfer. We also can't tell if any of your investments have those kinds of charges.
