Only Microsoft can change this. HOWEVER...
Due to a countries different laws it is unlikely you can change countries and keep an identification and more. Do you need to read again why this blocks this?
Does anyone know how I should go about to change the country of my XBOX Live and/or Zune Account?
I already called MSFT XBOX support (Belgium / Netherlands) and they told me to ask my question here...
I know I should cancel my XBOX Live account but this is linked to my Hotmail account. MSFT says when deleting the XBOX Live account my Hotmail account goes down with it. Since I use Hotmail everyday, that's not an option.