You can right click on the layer name, and choose "select entities".
This will select all the objects on the layer, which would be close to what I think you want to do.
After selecting all the objects you want to change, you can then change the settings using the shape style, or use the sample tool (default shortcut "s") and click on the shape you want to change the style settings to.
(this is in SketchUp 7)