You need to go to your host's control panel to make MX changes.
MX settings are made with your host.
As an example, If you regestered your domain with Godaddy, they provide hosting services as part of your account with them. You would need to log into your godaddy account and go to your domain settings. Look for MX controls and change them.
A detailed list of instructions for several hosts can be found here:
http://www.google.com/sup
