Site titles (Blog Names) and optional Taglines located here > Settings > General can easily be changed at any time.
The blog name (site title) and tagline have been changed. Clear your browser cache and cookies. http://www.google.com/support/accounts/bin/answer.py?hl=en&answer=32050
If what you want to do is change the blog address ie. the URL this option will permanently disable the address and you will not be able to reuse it. Only select this option if you are sure you will not use the address again. If you want to redirect traffic to the new blog, you can keep the address and purchase the Site Redirect upgrade. http://en.support.wordpress.com/changing-blog-address/
re: the 404 error message on the front page
By default the front page of your blog displays all posts. The 404 (page not found) error message on the front page of the blog appeared because the Admin of the blog deleted the placeholder Hello World post. http://en.support.wordpress.com/not-found/
As soon as you publish a post, not a page it will disappear. Read the differences between Pages and Posts.
On the bottom of your Admin page you will find a link to the Learn WordPress.com blogging Tutorial prepared by Staff. http://learn.wordpress.com/
The support documentation is all found at the Support link http://en.support.wordpress.com which is also on the bottom of your Admin page.