No. You should change your altimeter to whatever ATC has given you. Definatly talk to your CFI about pressure and why you set the altimeter to the pressure setting ATC gives you. The altimeter setting is basically station pressure extrapolated to sea level. Station pressures are most accurate close to the station and will change as you fly away from the station. ATC gives you new altimeter settings because of the different station pressures. Even if the altimeter setting may seem "wrong" to you, it is the same altimeter setting given to other aircraft in your area. As long as all aircraft are using the same altimeter setting, vertical separation will be assured.
Sometimes atc will give you an altimeter setting and you'll be flying along at 3500 ft Indicated altitude, but your true altitude might be 3300 ft. Remember that ATC will give this setting to all the aircraft in your area. So there might be another airplane 1000 feet above you flying at 4300 ft true and indicating 4500 ft. Think about what would happen if you change your altimeter setting, but the other aircraft maintains theirs.
Does this make sense? Pressure and altimeter stuff is not my favorite topic.