When you try a different medication do you have to wait a time period before you try a new one? or can you take it the next day?

Usually the time period is to either get rid of other drugs in your blood system because they take time to go away, or, to give the new drug a chance to build up to it's full strength in your blood system.
Many drugs have a "half-life" - they don't just disappear between the time you took the last dose and time for the new one...
:angel:

It really depends on the type of drug you're starting/stopping. Usually if you're changing from one SSRI to another SSRI (say prozac to zoloft) they won't make you wait before starting. Other classes of drugs are a little trickier as Ruth said. Follow the docs orders!
The exception to this (sometimes) is in the hospital under observation because they can monitor you more closely if anything were to go wrong. In the hospital they also tend to increase doses faster.