Is changing a bootloader possible?

As some of you know that I had a problem with my nano clone in my last post I also found a solution to it by selecting the old bootloader option.
So now the question starts as can I change my old bootloader of my nano into the latest version.
And could any please say me what is a bootloader and what happens when we click the burn bootloader option in IDE.
And for the sake Im also having a perfect error free Arduino Uno clone model too.

As I posted in your other post, you can use a Programmer to load a new bootloader into your board.
When you select Sketch:Burn Bootloader, that is what happens. The fuses are updated, and the bootload sketch is overwritten.
As I said, I burn all my 328P chips with the Uno bootloader.

The Bootloader is the program that runs after a reset; it monitors the serial line to see if a PC is trying to talk to the chip. (When you start a download, you can see the Rx LED going blip-blip-blip, that is the PC trying to initiate comms, if successful it is followed by longer bursts of both the Rx and Tx LEDs flashing, that is the download and verification happening.)
If the bootloader does not detect anything from the PC, then it jumps to the start of your sketch.
If you do not have a bootloader installed, because you used a Programmer and selected Sketch:Upload Using Programmer, then your sketch starts immediately after a reset.