c ionion has notes c d e f g a b (this is the standard c majour scale)
b dorian has notes d e f g a b c.
this continues till each o the seven notes was the first note of the scale.
if u play throught the scales u will hear they are different. now u might ask arnt c ionion and d dorian and the other relative modes all the same. well no cos te notes have different importances in each mode. but how is this emphasis on certain notes created u ask. well it is created in severall ways. the most common is returnin to the root often. if u are playin th d note a lot it will sound like d dorian. there are many other ways too.
as u say sometimes the key will change but not the notes. for example if the song goes from c ionion to d dorian, all the notes will be the same. whereass sometimes if the key changes from c ionion to f dorian the notes wll be different.
so how does this impact on your playing? well u should use the root of the key u are in a lot, like do a run and end on the root. so if u change from c ionion to d dorian the c note should be played a lot at first and then the d one afterwards. this is just the basic stuff.
sometimes a progression will be played, and it will not be clear from the progression if it is in one mode and key or the other. eg it contains too few of the notes to determine wether it is in either. in these cases u could play twoo diferent scales over the key, and it will give u a different feel to the sound, as your lead playing will determined what key it is in.
hopes this helps