Q: my screen does not change when I turn the phone sideways

double click your home button to reveal the screen at the bottom swipe from left to righ. Click on the circle with the lock

Do you have the orientation lock on?

iPhone User Guide (For iOS 5.1 Software)

Double-tap the home button, swipe the list of apps at the bottom to the right, tap the left-most button.  This unlocks the portrait orientation lock.

Because it is locked.  Double click home button and swipe everything from left to right at the bottom of the screen till you see a box with a circular arrow tap on that and it will unlock screen rotation.  I guess you have something that looks like that top right of screen.  That means screen rotation is locked.  You can unlock if you do what I said

Try this: http://support.apple.com/kb/TS3805