Find a good, quiet place to study and avoid "cramming." Learn the material at a relaxed pace. Trying to learn too much in a short time frame will increase anxiety. Break the study periods into short blocks and relax a little between study sessions.
Address your worst case scenario. If you know you can overcome the worst thing that can happen, you can handle lesser challenges. Find out in advance if it is possible to retake the test. It may help your stress level to know there are options even if you fail that test.
Know what knowledge or skills will be evaluated, and the format of the test. Take advantage of any exam study guides from the instructor. It will help your confidence to know you are studying the right material and won't be caught off guard by any question on the test.
Look quickly through the whole exam. If you see questions you can answer with ease, do those first. That bit of confidence at the start of the exam may help you relax and get the rest of it done without a lot of worry.