PURPOSE: To insert automatically further surely a fine hole machining electrode to an electrode guide device, so that the fine hole machining electrode can be automatically replaced.

CONSTITUTION: After a fine hole machining electrode is automatically replaced, a base part of the fine hole machining electrode 17 is loosely interposed by a guide block 29 provided in an end part of a guide 27, and the guide block 29 is lowered down in a direction in parallel to a Z axis direction so as to squeeze the fine hole machining electrode 17, to position align the fine hole machining electrode 17 and a fine hole of a support guide 23, to lower down a main shaft 13, to insert the fine hole machining electrode 17 to the fine hole of the support guide 23, thereafter to make the guide block 29 take refuge outside a machining region of a workpiece 6.