Depending on how thick the yarn is, you can just knit with both yarns for a few stitches, then drop the old one and keep knitting with the new one. You can just then weave in the ends when you're done. That's probably the easiest way.
You can also do a Russian Join, which is a little more involved, but looks tidier and leaves no ends to weave in. Scroll about half way down this page to see your options: http://www.knittinghelp.com/videos/knitting-tips