There are two ways to change your direction of travel on a board. One is simply to "steer" the board by moving the front of it in the direction you want to go, and letting the rear fin(s) do all the work. This practice won't get you any speed and it won't get you any air, but it will get you lots of faceplants.
"Edging" is the the second (and proper) way to change directions (and to gain speed). It's a lot like riding a skateboard. Mostly, you use your ankles to rock your feet back (or forward), so the heelside (or toeside) edge of the board digs into the water. This will cause it to change direction. To edge really hard, you can lean your whole body back and pull hard against the rope, which will give you a lot of acceleration and speed.