Whenever you start a Dungeon, or a Battle with a wandering monster, you will automatically change to the last combat job used. At the top of the starting screen is the icon of your job, and the message "Click here to change jobs". Once you press Go you are stuck eith that job for the remainder of the encounter. You cannot change jobs once it has started.
Only the Combat Job that you are currently using will gain experience and stardust from the encounter, so choose wisely.