To change the fluid in an automatic transmission you usually need a [http://www.google.com/search?q=transmission+flush+machine&ie=utf-8&oe=utf-8&aq=t&rls=org.mozilla:en-US:official&client=firefox-a#q=transmission+fluid+exchange+machine&hl=en&client=firefox-a&hs=ngq&sa=X&rls=org.mozilla:en-US:official&prmd=ivns&source=univ&tbs=shop:1&tbo=u&ei=LCgRTYenBpHSsAOYjtjRAg&oi=product_result_group&ct=title&resnum=1&ved=0CCUQrQQwAA&fp=9bef8cda26d1a6ec|transmission fluid exchange machine]. Unfortunately, these are rather expensive for the average person, so I recommend going to a mechanic for an automatic transmission flush. My understanding is that transmission flushes should be done around every 60,000 miles or every 5 years. However, new cars with synthetic fluid may be recommending every 100,000 miles or 10 years
Manual transmissions are another story and it is usually very easy to change the fluid in them yourself.