Not all NIC cards allow changing of mac addresses. For them u have to use some external utility. Here's a free one:
*www.softpedia.com/get/Network-Tools/Misc-Networking-Tools/Mac-Makeup.shtml
But may I ask what exactly you want to achieve by doing that?
Some ISPs like SIFY, use MAC based authentication on their servers. Maybe this kind of auth is new, but my friend at mambalam (chennai) was under such system. I don't know exactly what happened, but I think he got into trouble after installing IPv6 tunnelling prtocol on XP and XP had reported some strange mac address instead of the h/w one. The trouble came with installing linux, which reported the nic's mac and hence was not authenticated on the ISp server.
He had to ask for resetting of mac address for his account. He could very well have used a mac address spoofing utility on linux and programmed the mac address reported by xp. But he got rid of XP itself in favour of linux