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You go to Finder, open a Finder window, press CMD-SHIFT-C, select the USB flash storage thumb drive in that list, press CMD+I, go to "Name & Extension" and enter a name. Close the window and be done with it.
Or you select the USB flash storage thumb drive on your Desktop or in the Sidebar of Finder and do the CMD+I stuff.

To learn more about Mac OS X: Helpful Information for Any Mac User by GGJstudios
 
Or (even quicker) - just select your drive (click it once), press Enter, type in the new name, press Enter again.
Done...
 
I will also point out that if you can't rename a USB drive in Finder, then maybe it's because you can't write to it.

There may be several possible causes for this, such as the USB drive being in the Windows NTFS format.

Discover the format by selecting the USB drive in Finder, and doing ⌘I (Get Info). The format should appear near the top of the Get Info window, next to the label "Format:".

The format can also be discovered in Disk Utility. Select the named volume, and the Format: appears at the bottom part of the window.
 
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