How to change the name of my iPhone on iPhone 4?

So I was at school and my friend was logged onto the computer, so we opened up her iTunes because she was gonna put music on it for me and I didn't know since it was the first time my iPhone got connected to iTunes that it was gonna say her name. It's really bothering me so just wondering if its possible to change it to my name?

Double click it and it should look highlighted and then just start typing.