Water, for example, can change from water to ice, which is called freezing. Freezing is what happens when a liquid changes to a solid. 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.