There are a few steps that you will need to take to go ahead and get the domain changed.

How to change your domain name?

• Connect to your account using FileZilla
• Go into your active themes directory normally in /wp-content/themes/
• Download the functions.php file (for your active theme)
• Open it using a simple text editor such as notepad
• immediately after the initial "<?php" line, add the following:

  update_option('siteurl','http://example.com/blog');
  update_option('home','http://example.com/blog');

* Use your own URL instead of example.com, obviously.

• Save and re-upload the functions.php file, overwriting the original that is there.
• Go to your admin page, and hit "F5" a couple of times, your new site should come up.

* Please note, that if there isn't a functions.php file in your themes directory, just create a file called "functions.php" and place it in there. The code that would need to be entered into that file would be:

<?php
update_option('siteurl','http://example.com/blog');
update_option('home','http://example.com/blog');
?>

Now, almost done…

• After you login, click on "Settings"
• Now, click on "General"
• Modify both of the below settings:

  Blog address (URL)
  WordPress address (URL)

• Upon completion, click "Save Changes"
• Upon completion of the above, just undo the functions.php changes that you did, because now you have set the correct url in the database, you should be fine going forward.