No, you don't have to change your email address to use Thunderbird. It has a similar setup routine as Outlook Express and is able to import your current messages from Outlook Express. Of course, the messages will still be in OE as well. While testing Thunderbird, I wouldn't use OE, or at least turn off the automatic check for messages feature. Otherwise, you'll end up with email in both programs.

My biggest reason for using Thunderbird is its ability to mark mail as junk and move it to a junk folder. That's becoming more important all the time for me. My personal email used to attract under 10 spam messages a day. That has ramped up in leaps and bounds to 50 or more per day. Thunderbird automatically moves most of them to the junk folder (and deletes them a couple days later). The remaining spam can be dealt with by a single click to mark them as junk. Thunderbird learns from what you mark as junk so the next time, similar spam become junk.