You have to carefully peel it... Search Youtube for "survivorman prickly pear", he shows you!
How to choose and eat a prickly pear cactus fruit?
Here is a link to tell how to pick a ripe one.
http://www.ehow.com/how_8195377_prickly-pear-ripe.html
As for how to eat it there are lots of ways. Here is a link for lots of recipes.
They should be a little soft and have a red color. Although the juice is a bright color, it really doesn't have much taste.
Growing up in the SW US Ive had the pleasure of dealing with this candy firsthand and learned from experience. First, always wear gloves as this fruit has small invisible needles that will get you everytime and once off the cactus, use a knife or plastic card to scrape off needles so you can handle the fruit safely and then to be safe , peel off the skin to make sure needles are all gone and wash off and eat like fruit