For the record, this is 100% legal. I have listed the steps below to change your IP address, depending on what version of Windows you're running.
I've never used Lindows, so if you're using Lindows, these instructions may or may not be what you're looking for. I just noticed that your profile indicates that you have Lindows, so I edited this post and added this paragraph.
Windows 9x/ME:
Go to control panel, click on network, choose the TCP/IP protocol, click on properties, and in there you have the option to either choose DNS or enter your own IP address. You can also find out what your IP address is by running winipcfg from the run line. You will be required to restart your computer when you change your IP address.
Hopefully those steps above are accurate enough; it's been a while since I used those versions of windows.
Windows NT 4.0/2000/XP:
Go to control panel, choose Network Connections, right-click on the network item that you want to change (would either be your LAN connection or your dial-up modem connection, etc. Most likely it will be your Local Area Network connection. It is not recommended that you change your IP address on your internet connection.); go to properties, click on Internet Protocol (TCP/IP), choose properties again. Then make sure that use the following IP address is chosen, then enter your desired IP address in the box below that. If you're running Windows NT 4.0/2000/XP, a restart is not necessary.
I typed up these instructions from Windows XP, if you're running NT 4.0, they may be a little different on your side. You can check your current ip address by getting to a command prompt, then type in ipconfig/all, which will display all information about all of your connections. You can also just type in ipconfig, which will give you just the basic information.