Since you specify that you're using SQL Server, that change can and should be done using the design tools.
Start the Management Studio program and connect to the server. Then open up the database in question and find the table.
Right-click on the table and select Design, and then in that view, do the changes.
You now have two choices:
- You can click on the Save button, and MS SQL Server will script and execute the necessary changes for you
- or, you can use the Generate Change Script button. In my IDE, this button is the leftmost button on the same toolbar as the key/constraint buttons (not the same toolbar that has the Save button)
If you use the latter function, you will see the script code in a dialog, and can optionally save it to disk. This allows you to get an overview of what will happen should you want to execute it.
The problem with changing the primary key is that all references from other tables in to to that primary key needs to be dropped first, and recreated afterwards, and the SQL Server Management Studio program is smart enough to generate (at least in 99% of the cases) all the SQL you need, in the right order.