How do I change drive on the remote panel?

You are probably connecting with WinSCP to a server on Windows. SFTP, FTP and SCP protocols use Unix concept on one-directory-root. It collides with multiple roots (=drives) on Windows.

Each server solves the problem in different way.

So far the only server I know that offers solution for graphical clients is Vandyke VShell. It implements SFTP protocol extension that lists drives on the server. WinSCP is then able to show them on remote directory tree.

On other servers you will need to use Open directory command and type path to another drive manually.

On Windows clones of OpenSSH server you need to type path like /cygdrive/X, where X is the drive letter. On Vandyke (and some others) server you need to type path like X:/, where X is the drive letter.

If you usually use one drive only with WinSCP, you would probably want to bookmark it, not to type it again all the time. Or use it as initial remote directory.