I am assuming it is because you are connected to a network?
If it is because you are connected to a dynamic link to the Internet, then it is changed automatically for you. If you are connected to a static connection, then you have 4 other IP addresses to use.
Now if it is an internal network running to a server, then you not only have to change your address, but the server has to recognize the address that you issue yourself.
I can walk you through it if you give me a little more description of what you are trying to accomplish. Now if it is because you have someone interfering on your IP then you need to get a firewall. Prevx1 is a good firewall that will let you know everything that is happening. You can tell it to allow or not allow. You can download it at http://download.com and it is free!
Many people think that because they are running XP and it has a firewall that they do not need another one. Well, XP firewall is not very powerful. You may run Prevx along side XP firewall without a problem. Maybe this is what you need.
How are you connected to the Internet. DSL, phone, cable, or T1? Are you connected to an external modem? If you are turn your modem off then go to the dos prompt and type ipconfig/all
This will tell you what your current setting are at. Now type ipconfig/release This will release your current settings. I am sure that you are a dynamic link that is why you are able to do this without a problem. Now type ipconfig/renew. Now turn your modem back on and as it connects to the Internet you should be given a new IP. Now not only does your computer have a new IP but your modem does as well.
If that does not work, call your IP provider and ask them to change your IP address. They normally do it every time your modem is disconnected from the Internet.
Make sure that in your control panel under network connections that your properties are set to obtain IP automatic.
You will have to contact your IP provider. They may only change your IP once a month or so. You can probably email them asking for a new IP. Because you are not connected to a static connection you do not have the option to change the IP address yourself.