This is probably because those three properties are all part of the composite primary key, and as Entity Framework elegantly points out: you can't change the primary key value.
If this is at all an option, I would consider NOT using a composite primary key but a separate primary key for this class. You'll find it makes using foreign keys a lot simpler.
So, something like this:
[Key]
public int KeywordAddressCategoryId { get; set; }
public int Keyword_Id { get; set; }
public int Address_Id { get; set; }
public int Category_Id { get; set; }
With this system identity constraints, foreign keys, passing around id values as route values or as hidden fields in forms, ... all become much easier. And for your question: you can then easily change the Keyword_Id value because you CAN change a foreign key value easily.
I know this doesn't really answer your question, because I haven't told you how you can actually change the value, but I wanted to post this answer anyway so maybe you could reconsider your database structure.
Edit: see this question on how you can achieve what you want, if you really can't or aren't willing to change your DB structure: Update part of primary key Entity Framework 4.0