OS X: How to change the main screen?

In multi-screen setups, for example a laptop with an external monitor, OS X prefers the laptop screen, which makes things a bit weird when using mainly the big screen, especially when having to confirm message boxes in the other screen.

To change this behaviour, go to the System Preferences → Displays:

The built-in display settings.

Observe the notice and the current position of the menu bar.

Drag the menu bar to the other display:

External display.

After this change, the system will prefer the big screen for message boxes and other such dialog windows.