Click on the User Options button (see the red arrows in the following image).
Click on the Account tab (see the red arrow in the following image);
then click on the Change button (see the blue arrow).
At last, type the new nickname that you wish and click on the Change Nickname button.
Please note that you can change the nickname in this way only 5 times. If you want to change it more times than that, you must click on this link: How can I change the Nickname beyond the fifth time?