Where/how do I change my faction?
 

I'm new to this.

There are several places, Sheriff's building, one by mining shop and the other in the Indian territory. Sherif's building would be the easiest and it is located near the start area

You can change your faction by talking to the NPCs located at the area labeled Witchcraft on the map. There is one on the cowboy side and one on the indian side

Which one is better doe? :/

If you're asking which faction is better, it's all a matter of opinion. Cowboys and indians can buy the same weapons and items. If you're asking which place to change your faction is better, they all work the same.