1. A method of switching from one operating system (OS) program to another OS program for a data processing system to provide a different function which comprises: a processor; first memory means for storing a plurality of OS programs each having a specified file name and a plurality of data sets; second memory means having a first area for storing an OS program, a second area for storing a data set used by the OS program, a third area for temporarily storing a processing program to be executed, and a fourth area for storing a program which loads a selected one of OS programs in said first memory means to said first area of said second memory means, said first memory means being an externally provided auxiliary memory; and control means including a data input device for instructing the loading of an OS program with a specified file name from said first memory means to said second memory means, so that the processing program stored in said third area of said second memory means is executed under control of the OS program loaded in said first area, said method comprising: a first step of verifying an OS load instruction issued by said control means using a first program section in the OS program stored in said second memory means, and, if the OS load instruction is acceptable, preparing a parameter indicative of the content of said second area of said second memory means; a second step of executing the program in said fourth step to load a new OS program with a file name specified by said control means from said first memory means to said first area of said second memory means; and a third step of executing a second program section of the newly loaded OS program prior to execution of the processing program to load a data set which is necessary for the new OS program and is not present in said second area of said second memory means as a result of reference to a parameter prepared by the previous OS program.