You can edit members names by clicking on the edit icon from the members.asp page. I'm not 100% sure off the top off my head whether the Admin can edit their own name this way or not though.
edit, just tested it on a forum I'm an admin of and I could change my name ok.
Most people create a second "Admin" account and use that for their day to day posting etc, the default admin account can then just be left alone.
If you really must change it then the other way would be just download and edit the database directly, but I'd consider just creating a new account personally probably easier.