What you are asking doesn't make sense. Your internet IP address is assigned by your ISP, usually to your router. Your router assigns you a 'private' IP address. You use the Network section of System Preferences to set your IP configuration, and you have exactly the same options as Windows because TPC/IP is a standard protocol.
If you want to do something 'shady', like make yourself 'anonymous' or appear to be from a different country, you should search Google for your exact need. Changing IP address won't make you 'more secure'. It'll make you less secure, if anything, because the kind of sites that appear in search results for shady things tend to be shady themselves.
You don't need to change IP to be secure, you just need to use a good router with a built in firewall (AirPort is excellent), keep your computers up-to-date, and stay away from pirated software and those FREE screensavers/smileys/fish tanks. If you do those three things, you're extremely unlikely to be 'hacked'.
