If you mean your login name you cant, its locked in after account creation.
If you mean the name that is displayed here and on your profile, just click on "Edit Profile" on your account page and change it.

The account name cannot be changed. Only the profile/display name. No one else can see your account name except for you.

Your username/login name? You can't. The original database design makes the username unchangeable. Maybe someday they'll make the changes to make it possible.

Lots of sites don't allow those kinda changes though. Steam is in that camp.

Can my SteamID and/or Steam Account Name be changed?

Your SteamID and Steam Account Name can not be changed, even by Steam Support staff members. Your player name can be changed at any time in your Profile Settings, under "Edit my Profile" page.

SteamID, Steam Account Names, Merging Accounts and Deleting Accounts