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I would like to insert a record in a special table, called "changes" whenever a record in my "address" table has been modified. The record should contain the modified fields (.old <-> .new values), timestamp and the name of the logged in user, who made that modification.
So where do I have to put that code? Any suggestion and code example would be appreciated.

I think it is too late in AFTER UPDATE because at that time old data has already been overwritten.

As a starting point:
You should consider fetching current data in BEFORE UPDATE hook, for example by using getRecord(tn, pk)-function, then compare (current) data with (new) $data array, then insert differences, timestamp and current user into CHANGES table.

A different approach: database triggers

Thanks js,

I already tried the "Trigger Approach" where it has .old and .new field values to compare. At first glance it worked well. But later I ran into one serious problem.
The address table is initially filled by different tables from my database (f.e., doctors, hospitals, etc.). These tables have a couple of fields in common (f.e. first name, street, zip-code, telephone nr, etc.). So when someone changes the value of a field in the address table, this modification has to be committed also in the table, where the address record has its origin (f.e. in doctors table). So far so good.
But when I modify f.e. the telephone number in the doctors table it has to be updated in the address table too. That again starts the trigger on the address table and a database errors occurs (REGRESSION). That seems to be a typical problem with mySQL, where you cannot temporally disable a trigger.

The "before update hook" approach will give you total control.