In quantum mechanics, particles change their position when they are being observed.How this observation happen

....happen exactly? I mean,if we observe a something like a box,light electrons hit the box and then return to our eyes so we can observe it by eyes.
like this,how do they observe a small particle(so it will change it position/collapse wave function)?

This is currently the big question in Quantum Physics. Here is a Ted Talk that could shed some light on the matter...

http://www.ted.com/talks/lang/en/aaron_o_connell_making_sense_of_a_visible_quantum_object.html

you see things by bouncing photons off them. That changes their momentum so now you don't know the momentum. If you pin down the momentum, you can't know the position (from Heisenberg's principle).