Go to the site's top right corner and click on MY ACCOUNT.
Find the ADDRESS BOOK section near the center of the page, and click the MANAGE ADDRESSES button to the right of the header. (Alternately, you can look on the left bar for ADDRESS BOOK and click that link.)
Midway down the page, find the ADDITIONAL ADDRESS ENTRIES section.
Locate the address you wish to update. Click the button on the far right of the address that says EDIT.
This will open a screen with the existing address, and allow you to edit that address.
At the bottom of the page are checkboxes to select this address to USE AS MY DEFAULT BILLING ADDRESS and/or USE AS MY DEFAULT SHIPPING ADDRESS, if desired.