How would I change a primary key and have it update the foreign key?
Is this possible with out doign the following multi step operation?
1) Add the new primary key row
2) Update the foreign key with the new foreign key
3) Delete the old primary key row

nope. The primary key is what defines a record.
If you change it you now have for the database a different record.
Most databases in fact won't allow you to change the primary key of a record for that very reason, it makes no sense and would easily lead to database corruption.

Thanks for the quick response