Before you change the search engine, you must access the search engine in Edge's search bar to add it to the list of available search engines. For example, for Google you must access 'Google.com' then follow the instructions. Now, go to Settings from the main menu and click on 'Advanced Settings'. Here, scroll down and click on 'Add New' from the drop down menu under the heading 'Search in the address bar with'. Now just select the search engine and click on 'Add' to make it your default search engine.