Set up a meeting with your advisor in person, over the phone or through email. Don't go into detail about the reasons for your meeting, but just say you would like to discuss something. If possible, avoid setting up the meeting on a particularly busy day for the PhD program and your advisor. For example, avoid arranging the meeting on a day when the advisor is hosting an important, extracurricular seminar. However, once you have made the decision to leave, do not delay telling your advisor for very long as it may create an awkward atmosphere.
Tell your advisor that you need to leave the PhD program at the beginning of your meeting in as straightforward a manner as possible. Say something like, "I have decided to leave the PhD program." It is important to be honest throughout your conversation. Don't say the decision to leave is "regretful" unless it truly is. Be polite, but don't sugarcoat the decision to leave just to make the conversation less awkward. Remember that you are an adult who has paid to take part in a learning program; you have every right to leave, and your advisor will most likely understand your decision.
Explain your reasons for leaving without revealing any information you are uncomfortable sharing. For example, if you are leaving in order to seek help for depression, you can simply state the reason as "personal." If you are leaving because of your dissatisfaction with the program, you may choose to explain your reasoning diplomatically yet honestly. Though you may not owe the advisor an explanation, sharing your dissatisfaction with the program may help him improve the program for future students.
Thank your advisor for her time and for any help she has given you throughout your course. Even if you are dissatisfied with your advisor, she deserves, at the very least, to be thanked for meeting with you.