Tiny bit vague. If you are talking about what is normally called 'Chmod' ing files (as I'm guessing you are), then you cannot on Windows - they simply have full rights. Dan
You are either talking about sudo/su, in which you escalate/change your user's permission level on a unix server - chown; in which you are changing the owner/group of a file, or chmod; in which you change the file permissions of files or directories. Could you be a bit more specific about what you are trying to accomplish?
your website control panel has a file manager, you can change file permissions there. you can also do it with an ftp program.