Water can change from ice to water, which is called melting. Melting is what happens when a solid changes to a liquid. Water can also change from a water to steam, which is called evaporation. Evaporation is what happens when a liquid changes to a gas. Water can change from steam back to water, which is called condensation.
Condensation occurs when gas changes into a liquid.
There are some substances which can go from being a solid, directly to the gas state, which is called sublimation. Solid carbon dioxide, commonly known as Dry Ice, bypasses the liquid state altogether when it changes to a gas. The last change of state is matter going from a gas, directly to the solid state, which is called deposition. Water vapors in the air during winter fall in the form of snow, a solid. Energy is either lost or gained during a change of state.