It may depend on many factors you did not specify. Let's start with some basic description.
1. What version of KCMS do you use?
2. What development model? ASPX, Portal engine, or mixed?
3. Under what circumstances you want to change that template?
When speaking about usual page template (master page) management and not about some special scenario, I would recommend you to read via Kentico CMS tutorial (portal engine)
or Kentico CMS tutorial (ASPX templates)
, where this topic is explained. Thank you.