Changing the interpolation type can be done per keyframe on a curve, the interpolation between the selected keyframe and the next defines the final curve shape. Selecting one keyframe and pressing L will select all keyframes on the curve.
If you are having trouble finding or selecting a single curve in the graph editor you may want to lock all curves and then unlock the one you want to change. Tab will lock/unlock all curves. You can also click the group lock (see green LocRotScale line below) to toggle all curves in that group, then unlock the one curve you wish to alter. With all other curves locked you can use A to select all the keyframes on the one unlocked curve.
The cursor button on the header of the graph editor can also help by only showing the curves for objects selected in the 3DView.
T will show the menu to choose what interpolation to use on the selected keyframes.
Also the Dopesheet and graph editor work similarly, you may find the dopesheet an easier way to select the keyframes you want. The same T shortcut will let you change interpolations in the dopesheet.