Hello again.

                 Since everyone was so helpful with my last question I thought I may as well fire away with another.


I just managed my first flight using triangulation between two vor's to get me to arrive at the head of Lock ness in Scotland.  Felt great as it slowly came into view as planned.  Less good was realization that I was flying  towards  a Nob describing a curve around it rather than heading straight to it.If the wind was in the wrong direction and strong enough I think could have flown a full 360 around it with my nose pointed right at without ever reaching it.  "Would that be possible in real life ?" 

Anyway my question.

When and where must I alter the setting on my Altimeter?  When flying IFR   have  a heading of say 90 and an altitude of 4500. I climb and level off but the ATC keeps telling me to climb to 4500.  I climb up until they stop complaining then level off.  The I'm handed over to a new ATC and they say I'm high by 200-300.  I descend and then they start complaining too.  I'm beginning to think they are just annoyed they are stuck on the ground.    So when do I change the altimeter and to what ?   Hope it makes sense.  Thanks for any help