This thread covers much of this topic quite nicely i think: http://social.technet.microsoft.com/Forums/sharepoint/en-US/fe335ccd-8e00-4dcf-a683-64382d9e0e3a/how-to-change-master-page-in-sharepoint-2010
In short, for foundation you need to use either code (PS or C#) or SP Designer.
For Standard or higher you can use the publishing framework and modify it through the GUI.
Todd has a nice blog post around this: http://www.toddklindt.com/blog/Lists/Posts/Post.aspx?ID=226