![Image](https://i.stack.imgur.com/Zm1Zm.png)
Click properties on your active adapter or connection:
![Image](https://i.stack.imgur.com/SP5OH.png)
Click Private to enable network sharing and discovery:
![Image](https://i.stack.imgur.com/pJBNP.png)
2021 update* Powershell answer still works, but none of the others do. So here is a new, simple GUI alternative:
(*) This 6 years old question is the first result on Google when searching for "change network type" but all available graphical answers became outdated, so I'm posting a Windows 10 answer here.