The first thing you need to do is determine whether your compressor requires lubrication. Those that do typically look like a single-cylinder engine with a dip stick or window to view the oil level. Most lower end air compressors have an oil-less design. It’s usually safe to assume the sub $200 unit you bought will not require an oil change.
If you know your unit is oil-lubricated, you now need to determine the type of oil to use. Normally the user’s manual will list this but if it doesn’t or you’ve misplaced it, the logical choice would be to purchase oil specifically labeled for air compressors. You should be able to find what you need at your local big box home improvement store, hardware store, and sometimes an auto parts store. In most instances, standard motor oils for cars should not be used as they can foam and cause damage.
To actually change the oil, you of course need to turn off the compressor but you do not need to decompress the tank. Like a car, you will need to open a drain plug at the bottom and completely drain into a container. You can either put the used oil in an empty milk jug if your area has curbside recycling or take the oil to an auto parts store for disposal. Once the oil is drained, close the plug and new oil to the fill opening at the top. Add enough oil so it reaches the fill mark on the dip stick or the level is at the center of the oil fill window. Similar to lawnmowers, most air compressors use less than a quart of oil. Best practice is to change your compressor oil yearly but this can vary depending on how often you run your air compressor.