>>1
If you have a dynamic IP connection (like dial-up or some ADSL lines) you simply disconnect and connect again, and you have a new IP. If you have a fix IP, you MUST use external programs, although you probably can't "change" your IP, you just can send a fake IP to others.
An IP identifies your computer on the network. Your computer HAS TO TELL the server your IP, otherwise it cannot send the reply back to you.