How to Change server? ITS only showing The IPhone… in server menu, and there are no other options 
Did you setup a server?
If not, do it.
https://support.plex.tv/hc/en-us/articles/200288286-What-is-Plex-
https://support.plex.tv/hc/en-us/articles/207197477-Is-Plex-like-Netflix-