I am just getting into bitcoin and did a small purchase with a certain address.
What do you mean purchase with an address? Do you mean that you purchased some bitcoins and gave your wallet's receiving address in the process?
However, after purchasing with an address I accidentally changed the address.
Well, if your first transaction was already sent, that's it. Did you send some additional bitcoins to the second address as well?
It is still the same wallet, but with a different address. Does this mean I will not receive my money?
What wallet is it? Some wallets (Electrum) automatically change the receiving address each time the previous receiving address has been used. This might be the case with your wallet, and if that's the case, there's nothing to worry about. You will just have to wait for your transaction to be confirmed.