I am finding it difficult to ride a Mountain bike, I feel that it may be more comfortable to change the tyre to that of a road bike, which are thinner in size.
Please advise if I can do so.
They make slick tires for mountain bikes used as commuters (and fat slick tires which the air provides a lot of cushioning). Some examples are Schwalbe's fat franks or big apple's (these are more baloonbike) or Marathons . Thinner doesn't necessarily mean more comfortable - in fact, the smaller the tire, the less comfortable it will typically be (this is a function of the bike's geometry and setup as well as the terrain and tires and tire pressures though). Go to your LBS and ask them for tires for road use or commuting and they will probably point you towards something similar to the Schwalbe big apples. Currently on my mountain bike which i use for commuting, I use Geax Evolution tires since I got them very very very cheap (though something like their street runner or some of the Kenda Kwick tires are probably something better for just road use if you're cheap).
You can't just take a mountain bike wheel and put it on a road bike and vice versa - the brake mounts and what not have to match up (this has been discussed a few times on these forums, whcih you can find with search) which is difficult if they're running different sizes.
The short answer is yes (with apologies to jimrings). The long answer is that your choice is very limited (and depends on your definition of road tyre - do you mean road-bike tyre or road-use tyre)?.
You'll need to look at http://sheldonbrown.com/tire-sizing.html#width or similar for what widths are compatible, and for urban riding (debris) or light off-road tracks (thorns) I would strongly suggest a kevlar anti-puncture belt.
The thinnest of the popular kevlar slicks available in 26" appears to be the Schwalbe marathon, but you could also try the Schwalbe road cruiser (I use these on my hybrid) or continental's comfort-contact
The short answer is no. Now for the long answer...
Mountain bike and road bike wheels are different diameters and use tires that are different diameters. Specifically, mountain bikes use 26" tires and road tires use the ridiculously meaningless 700c sizing. I won't get into what these sizes mean here, but you can find more info on this site or, if you really want to dork out for a bit, read Sheldon Brown's page on tire sizing.
As Batman mentioned, you can purchase slicks and semi-slicks for 26" rims. They're not technically "road" tires - they're a bit wider and run lower pressures - but they still reduce rolling resistance. There are lots of options. Just shop around
All that said, I'm not sure what you find uncomfortable about your mountain bike tires. Mountain bike tires are typically more comfortable than road bike tires. One thing you may consider is simply lowering the pressure in your tires. The maximum pressure listed on the side is very often much higher than you want or need. You can read more about finding the correct pressure here.