changing key

1. Make sure the "Palettes" window is open. If it is not, press F9 to open it.
2. Click on "Key Signatures" to expand the Key Signatures palette. It is the second one down, right underneath "Clefs".
3. Drag and drop a key signature from the palette onto the first measure, or onto the measure where the key change should occur.

Actually, what you probably want is the "Transpose..." command from the "Notes" menu.

Two very good answers thus far achieve two different results.

Using Notes / Transpose will actually change the notes in your score - moving them up or down as appropriate. it will also change the key signature to match.

Using the palette will leave the notes exactly where they are but will change the key signature.

So, simply pick the procedure that matches the results you want.