Changing the master database collation is not easy. One of the steps is rebuilding the master database. All steps could be found here:
http://msdn2.microsoft.com/en-us/library/ms179254.aspx
When you use ALTER DATABASE...COLATE statement - only new objects will be created with the new collation. You can change existing objects collation using ALTER TABLE ... ALTER COLUMN .. COLLATE satement. But changing old objects collation has some limitations according to the BOL:
"You cannot change the collation of a column that is currently referenced by any one of the following:
A computed column
An index
Distribution statistics, either generated automatically or by the CREATE STATISTICS statement
A CHECK constraint
A FOREIGN KEY constraint"
There could be also problems if you rebuild only user database, but still have tempdb collation different.
So, the cleanest way (but not the easiest) will be to rebuild master with the new collation and to recreate users databases as it described in the BOL: