The process changed slightly when Google redid their compose message process.
Under the new process, when you click reply it will open a mini window at the bottom of the message for your to compose your reply. At the top of the composing area will be the address to which you are sending the message, and to the left of that will be a different "reply" arrow, with the following options:
Select Edit Subject here and it will change to the full compose window, rather than the mini "inline" version at the bottom of the message. From the full compose window you can change the subject line before sending.