One way is to convert the complex number into polar form. For $z = re^{i\theta}$, $z^2 = r^2 e^{i(2\theta)}$. So to take the square root, you'll find $z^{1/2} = \pm \sqrt{r} e^{i\theta/2}$.
Added: Just as with the nonnegative real numbers, there are two complex numbers whose square will be $z$. So there are two square roots (except when $z = 0$).