Where can I change the MX entry for my domain?

For Linux ::

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Login to cpanel. You will find a portion named "Domains"

After Clicking on "Zone Editor". You will find a window where an option "+MX Record" is situated. Click on it & put your record here. 

You can also manage your MX records by clicking on "Manage option" 

Whenever you are changing these kinds of records, you should consult with a DNS expert/IT expert. 

For Windows: ::

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Login to plesk >> DNS >> Remove the current MX entry >> Add a new MX record.