As soon as you know you are changing course, contact the relevant department in charge of international studies to ask them how to proceed with your student visa. Bear in mind, the procedures vary across countries.
In the UK, you will need to inform the UK Home Office and there may be complications for your Tier 4 visa, and you may need to reapply. Talk to your university’s international studies office for more information on how to proceed.
In the US, you will need to make arrangements with your university’s international studies office, who will let you know how to approach the situation. If you don’t do this your institution will notify USCIS, and you may have complications with your visa.