If you want to transfer to another university you should discuss this with your faculty. If you are an undergraduate, you will need to make a formal application through UCAS but before doing so you should contact the institution(s) to which you hope to gain admission to find out about vacancies and transfer possibilities.
You will need to ensure that you do not break immigration rules and that you will meet the conditions of your visa. You may encounter difficulties if you leave significant gaps between studies, as this might lengthen the amount of time you need to stay in the UK. If this is the case, it might be possible to extend your visa, although you should be aware that this will incur additional costs.
If you are thinking of changing to another university it is advisable to talk to a student adviser in Student Advice and Welfare Services (SAWS) first.