Well with a little help from your local hardware store it can be easier than you think.
Step 1: Materials
Right now you will have one of two situations
1) The glass broke away from the base and you have a sharp stump stuck in there.
2) The glass came out intact leaving the threaded part completely empty.
we're going to start with he first scenario and move towards the latter.
What you need:
Glass catcher (large bowl, box etc)
5 minute epoxy putty
Flat head screwdriver