How do I change my web-host?

It rather depends on who the web host is, whether you leased the domain name through them and whether they give you the facility to transfer it. Theoretically, if you have paid for a domain name, it is yours to do what you like with (for the term of the lease) and you should be able to go to your control panel and change the nameservers to whatever host you want to use. Some companies, however, give you a "free" domain name when you sign up for their hosting service (or, vice-versa, give you a "free" hosting service if you buy a domain through them, usually at an inflated price). What is your current host and domain name?