Ok I have lots of gold ore but how do you change gold ore to ingots to make jewelry?

Find a smelter (there's one behind the forge in Whiterun just inside the gate) use it to change two ore into one ingot.

I looked several times and did not see one. I only found a lumbermill and grinder there. I am playing on a PC maybe the game is different for me?

Uhh... Sounds like you were in Riverwood... there's no smelter in Riverwood, but there is one in Whiterun. If you enter the town and turn an immediate right, there is a forge there, and on the other side of the forge is a tall, ugly black, and round thing. That is a smelter, and I guarantee you that it is there on PC because I play on PC too. There's also one in Windhelm near the smithy, and one in Dawnstar, one in a little village outside of Riften (Stone something or other), and several others whose locations I can't recall.