This bird makes many a change to finish with (5)
I believe the answer is:
mynah
'this bird' is the definition.
(mynah is a kind of bird)
'many a change to finish with' is the wordplay.
'a change' is an anagram indicator.
'to finish' indicates one should take the final letters.
The last letter of 'with' is 'h'.
'many' anagrammed gives 'myna'.
'myna'+'h'='MYNAH'
'makes' is the link.
(Other definitions for mynah that I've seen before include "Talking bird" , "Asian starling mimicking human speech" .)