There's two ways to change the status of orders. Both can be done from any status section of the Orders page, or when a specific order is searched up.
In the Order Search Results, there is the Status column. That status on each Order is a Drop Down box. You can highlight and click on a different status in the list, and that will move the order to the status selected.
You can also change the status of multiple orders at once using the checkboxes along the left side. You would select the orders you want to change, then use the drop down in the bottom left of the Orders page. Choose the status you want in the Mark Status As drop down, and then click Perform Action on all selected orders.