What is "Changing Cover"?

Don't quote me on this since i'm new to this game but i think it's when your being rushed by the opponent and you switched your character

When you are being attacked by an opponent, you can switch characters to let another character take the damage from the opponents' combo. This changing of characters is called either "substitution" or "cover change."
So pretty much what Trentmillenium said.

The idea behind this is that, certain units like Piccolo SP and SSJ Trunks SP, have a damage reduction when substituted during a combo so you can basically tank the entire combo if you time the substitutions right.