Regardless of legality, changing lanes while turning through an intersection is a really, really bad idea ... and it's also really, really common, because it seems that the average joe schmoe doesn't realize the things that can go wrong by doing this.
Actually, changing lanes while turning in an intersection IS illegal (while, as already mentioned, changing lanes while traveling straight through an intersection is not, on itself, illegal).
For right;
141
Right turn at intersection
(2) Where a driver or operator of a vehicle intends to turn to the right into an intersecting highway, he or she shall, where the highway on which he or she is driving has marked lanes for traffic, approach the intersection within the right-hand lane or, where it has no such marked lanes, by keeping immediately to the left of the right curb or edge of the roadway and he or she shall make the right turn by entering the right-hand lane of the intersecting highway where the lane is marked or, where no such lane is marked, by keeping immediately to the left of the right curb or edge of the roadway being entered. R.S.O. 1990, c. H.8, s. 141 (2).
and for left;
141
Left turn, at intersection
(6) Where a driver or operator of a vehicle intends to turn to the left into an intersecting highway, he or she shall, where the highway on which he or she is driving has marked lanes for traffic, approach the intersection within the left-hand lane provided for the use of traffic moving in the direction in which his or her vehicle is proceeding or, where it has no such marked lanes, by keeping immediately to the right of the centre line of the highway and he or she shall make the left turn by entering the intersection to the right of the centre line or its extension and by leaving the intersection in the left-hand lane provided for the use of traffic moving in the direction in which his or her vehicle is proceeding where the lane is marked or, where no such lane is marked, by passing immediately to the right of the centre line of the intersecting highway. R.S.O. 1990, c. H.8, s. 141 (6).