First login to your server as 'root'.
Then, modify your sshd_config file:
Look for the line that says something along the lines of the following:
Save the file.
Then restart SSH so that the new port takes effect:
Now, open a seperate session using putty or your favorite SSH program, and try to connect via the new port you have assigned to SSH. Attempting to connect to the default 22 should now give you a default "connection refused" warning and stop your connection.
Note: If you are having issues connecting to your new port, make sure that your firewall has that port open or that it is not a port being used by another process