Go to Control Panel (Classic View)/System
Go to 'Computer Name' tab
Click the 'Change' button.
Type the new Computer Name in the Computer Name field
And you're done!
(If you're on a Domain, this could pose a problem, as unless you already have a COmputer Account with the new name on the server, changing the Computer Name will remove you from the Domain. Not sure, but it may not even be possible to change your Computer Name while logged into a Domain.)