Dial the current combination; leave it set to that combo. Slide the knob/lever/whatever to the change position. While it is set that way (you may have to hold it), dial the new combination. Slide the knob/lever/whatever back.
(Basically, what sliding the lever does is uncouple the wheels from the mechanism, letting you turn them to a new position while the mechanism stays in the unlocked position. When you slide it back, the wheels are reconnected to the lock mechanism in their new position.)
Note that you need to know the old combo in order to set the new one.