You do not actually change gears in Zwift, but you can change gears on your own bike while riding on Zwift. Without a smart trainer, your resistance will remain constant, and you can adjust the resistance by changing gears on your real-life bike.
When using a smart trainer, Zwift will automatically adjust the resistance on your trainer based on the in-game gradient. In real life, you can then change gears when going up or down hills, just like you would during an outdoor ride. Zwift’s in-game trainer difficulty can also be adjusted, so you won’t have to feel the full effects of a +15% grade if you don’t want to.