Not all foreign driving licenses can be changed to GB driving licenses. Check here to see your country is in the list.
You have to be a UK resident to be able to apply the exchange and you have to make the application within first 5 years of your UK residency. For more rules, check here.
Once you meet all the requirement, you need to send the applicaiton form D1 (can be obtained in your local post office), a passort style photo, and application fee (currently £50) to the DVLA.