In the expiry box in the main window, just overtype the old expiry with the new expiry. The format is the same – yyyymm.
When to change – actual expiry date is the 3rd Friday of March, June, September and December( corresponding contract letters are H, M, U, and Z), rollover date is usually the 2nd Thursday of the same month. Traders usually switch on the rollover date.
(Updated 2010/8/20)
Corrected information about rollovers:
– rollover is on the 1st Thursday of the month if the first day of the month falls on a Friday, otherwise it is usually on the 2nd Thursday
– rollover is 8 days before the expiration
more details here – http://www.dacharts.com/faq/futures-rollover.htm
Thanks to Liam K. for the information.