Baud rate selection is done via mode register bits MR23 to MR20. ie. mode register 2, bits 3 to 0. These 4 bits allow you to choose 1 of 16 possible baud rates, as shown in table 1.
Both mode registers are accessed at the same address. To write to mode register 2 you have to write to mode register 1 first. This advances an internal counter so the next write goes to mode register 2, then the counter resets back to mode register 1. The counter is also reset by reading the command register. So if you only write to mode register 1 and then want to write to it again, read the command register first (else the next mode register write goes to mode register 2). And if you only want to write to mode register 2? You can't! Might be best to always read the command register first, then write both mode registers one after the other - that way the sequence can't get screwed up.
You might wonder why do it this way when they could have just had a different address for each register. But that would require an extra address line, and all the other pins are in use so the chip would need to be put in a bigger package with more pins.