Change the fuses of an Arduino Uno (can an Arduino Uno change its own fuses?)
You need a programmer to burn fuses.  If you have another arduino then you can use the Arduino as ISP example sketch in the IDE.  You can't burn fuses just using the USB cable like you upload code with.  The only reason that can talk to the chip at all is because there is another chip to convert it to serial and a bootloader on the 328P to allow it to upload code via serial.