That depends on the software you're using. I'm going to assume right away that you're using Finale Notepad, in which case the reason you don't know how to change the key signature is that you in fact
cannot change the key signature. In Sibelius and the commercial versions of Finale, you can freely change the key signature whenever you like, but in Notepad, very, very few options are given to you, and changing the key signature is not one of them.
Also, I'd like to direct you to this thread (
How to change the key signature in FinaleNotepad) in which we had the same discussion.