It is a whole lot less complicated if you just learn some moveable chord fingerings--John Hardly is exactly on the money when he mentions three note chords--two or three fingerings will cover just about all the chords you might need--no barres required--

As to Don's comments--good info on how to change keys, but erroneous on appropriateness--theare lots of key changes used--anytime you move from say, C to C7 to F, you are changing key, and in exactly the way Don mentions--

As far as changing keys by moving up by a half step--think about that standard "spanish" effect that you get when you play an open E chord, then slide your fingers up a half step--

Jazz tunes tend to move through the circle of fourths, which is simple the process of modulating through the diatonic keys----Coltrane, as mentioned above, found a way to move by thirds instead--

And, in case no one else noticed, Chico was asking about how to change keys on the guitar, no musical genre specified--