The 'Account Manager' provides that function among other things. Go to the account manager and click the 'Prefs/Profile' button. If you have more than one pen name, you need to select the pen name for which you want to change the email address.
Each pen name can have its own email address for feedback.
Please note that pen name email address is separate from the user account email address. The pen name's email address is used exclusively for reader feedback and is displayed in the stories if you choose to do so. The user account email address is used for requesting passwords and stuff like that.