There are two options for converting a Candidate into a Prospect:
Option 1 - Rejection:
For this option, you will first need to reject the Candidate from all jobs. Once the candidate has been rejected, you'll see a button on the candidate profile page (lower right corner): Make <CANDIDATE> a Prospect.
Option 2 - Removal (Site Admins Only):
You can click Remove/Delete Candidate to bring up a modal window, which will give you the option to either remove a Candidate from a job and make them a Prospect, or delete the Candidate completely.
As long as the Candidate is only active on one job, you'll be able to select Remove from this job and make prospect. If the Candidate is attached to multiple jobs, you'll either need to remove them from the other jobs, or you can follow the instructions to reject the candidate from all jobs and then make a prospect.