To change the Companion's Armor ? For example Lydia, i don't want her to use that steel armor.. Is it possible to change the armor ? and how.

Yes. Talk to her while she's following you, and ask her to trade. Give her the armor you want her to wear, and she'll equip it if it has a higher armor rating.

So i can't give her Iron or Leather for example ? that svcks..

EDIT: Also i did that, with a Higer armor rating than the Steel and she didn't changed the armor.

Yup, my Lydia has a full orcish armor set on. ^^