If you mean to a different star system, you have to research the required tech in the civ tree. It is usually like the 5th tier or so. It will allow you to jump from one star to another. Then just send your fleet and/or colonizers to the new system and work your way out from the star. (send scouts first, so you know where to go)
To get to the new system, you have to select your ships, then direct them to the NEW star. From there, they will automatically go to your system's star, and then jump to the new one. (When I first started, I was just clicking on my system's star, expecting them to jump. It doesn't work like that. Lol. You have to click on the destination.)
