Presumably it is just a matter of ripping out one side of studs and the header, putting new ones back in 4" further apart, and then cutting the drywall back; but things sometimes aren't as easy as they look.
Why are the studs doubled like that? Is that necessary? Do they make a 35" door? If they did, I could take out the inner studs to get enough room for a 35" door. As a practical matter my exterior (sliding glass) door is only 35", so that would be good enough.