Instructions
Go to the XMB on your PS3.
If your PS3 does not go to the XMB on startup, hold the transparent "Playstation" button in the middle of the controller until a menu comes up, and select "Quit Game" or "Quit Playback."
Go to the "Users" column of the XMB, at the far left.
Highlight your current user name from the list, and press "Triangle."
Select "Information" from the menu that appears.
Move the cursor to your user name and press "X" twice. This will bring up an on-screen keyboard.
Use the on-screen keyboard to enter the online name of your choice, then select the "Enter" button to confirm your entry. Your online name will now show up as the name you've entered.