Go to Control Panel, User Accounts, select your current name, and there should be an option to change your name.
This only changes the name that is displayed though, such as in the Welcome screen and the start menu. It's not possible to actually change the basic username on your account, since everything that references your account would be screwed up (your account name is used for the Documents and Settings folder, where many applications store data).
The only way to change the actual username on the account is to create a new account. You should be able to use the Files and Settings Transfer Wizard to backup your current settings for almost everything, and then just restore them to the new user account.