Water freezing into ice is a physical change because the hydrogen and oxygen molecules that make up the water stay the same, despite the change in state from liquid to solid. A physical change is simply a change in the material's physical properties, such as shape or phase.
Water can undergo three physical changes, as it can be found as a solid, liquid or gas. Like all physical changes, these can always be reversed, such as by thawing the ice into water or boiling water to create steam. In these changes, the matter always stays the same.
The opposite of a physical change is a chemical change, in which the individual atoms within the substance react chemically to create new substances. These chemical changes cannot be undone, because the atoms have formed new chemical bonds and the original atoms cannot be recovered.
One obvious example of physical change is mixing sugar into a solution of water, after which the water can be evaporated to recover the original sugar molecules. However, when cooking an egg, the heat causes the chemical properties of the egg to change. These changes can't be undone, because it's impossible to turn a cooked egg back into a raw egg.