It all depends upon why you want to change your IP address. If you want the outside world to see a different address (because you have been banned from a site, for example) then you need to change the address on your router, not your computer. Depending upon your ISP, this can be difficult or impossible. And be aware that many sites are aware of this sort of cheating; a temporary ban could easily turn into a permanent one and an official complaint to your ISP.