Anaximenes (d. c. 528 B.C.) was a Pre-Socratic philosopher, who together with Anaximander and Thales, was a member of what we call the Milesian School because all three were from Miletus and may have studied with one another. Anaximenes may have been a disciple of Anaximander. Although there is some controversy, Anaximenes is thought to be the one to have first developed the theory of change.
The Underlying Substance of the Universe
Where Anaximander believed the universe was composed of an indefinite substance he called apeiron, Anaximenes believed the underlying substance of the universe was the Greek for what we translate as "air" because air is neutral but can take on various properties, especially condensation and rarefaction. This is a more specific substance that Anaximander's.
In his Commentary on Aristotle's Physics, the medieval Neoplatonist Simplicius repeats what Theophrastus (the successor of Aristotle's school of philosophy) wrote about the Milesian school. This includes the ideas that that, according to Anaximenes, when air becomes finer, it becomes fire, when it is condensed, it becomes first wind, then cloud, then water, then earth, then stone. According to the same source, Anaximenes also said that change came from motion, which is eternal. In his Metaphysics, Aristotle links another Milesian, Diogenes of Apollonia, and Anaximenes in that both consider air more primary than water.
Sources of the Pre-Socratics
We have first-hand material of the pre-Socratics only from the end of the sixth century/start of the fifth B.C. Even then, the material is spotty. So our knowledge of the Pre-Socratic philosophers comes from fragments of their works included in the writing of others. The Presocratic Philosophers: A Critical History with a Selection of Texts, by G.S. Kirk and J.E. Raven provides these fragments in English. Diogenes Laertius provides biographies of the Pre-Socratic philosophers: Loeb Classical Library. For more on the transmission of texts, see "The Manuscript Tradition of Simplicius' Commentary on Aristotle's Physics i-iv," by A. H. Coxon; The Classical Quarterly, New Series, Vol. 18, No. 1 (May 1968), pp. 70-75.
Anaximenes is on the list of Most Important People to Know in Ancient History.
Here are the relevant passages on Anaximenes from Aristotle's Metaphysics Book I (983b and 984a):
Most of the earliest philosophers conceived only of material principles as underlying all things. That of which all things consist, from which they first come and into which on their destruction they are ultimately resolved, of which the essence persists although modified by its affections-this, they say, is an element and principle of existing things. Hence they believe that nothing is either generated or destroyed, since this kind of primary entity always persists… In the same way nothing else is generated or destroyed; for there is some one entity (or more than one) which always persists and from which all other things are generated. All are not agreed, however, as to the number and character of these principles. Thales, the founder of this school of philosophy, says the permanent entity is water… Anaximenes and Diogenes held that air is prior to water, and is of all corporeal elements most truly the first principle.
The Stanford Encyclopedia of Philosophy, Edward N. Zalta (ed.).
Readings in Ancient Greek Philosophy: From Thales to Aristotle, by S. Marc Cohen, Patricia Curd, C. D. C. Reeve
"Theophrastus on the Presocratic Causes," by John B. McDiarmid Harvard Studies in Classical Philology, Vol. 61 (1953), pp. 85-156.
"A New Look at Anaximenes," by Daniel W. Graham; History of Philosophy Quarterly, Vol. 20, No. 1 (Jan. 2003), pp. 1-20.