Hi!
What's the best way to open a paper wallet?
I want to transfer it to an exchange.
Do you mean to "redeem" the balance of a paper wallet and send these funds to an exchange?
The paper wallet will bring the address as well as the (concealed) Private key. You would just have to import that private key into your
preferred wallet to have normal access to the paper wallet funds. Then you'll be able to send the amount you want to the exchange.
I hope I was of any help.