Instructions
Open the your web browser and navigate to Xbox.com.
Click "Sign in." Enter your Windows Live email account and the password associated with your Xbox Live account. Click "Sign in" again.
Click your Gamertag in the upper right hand corner. Click "Edit Profile."
Enter the new Gamertag in the "Gamertag" text box. Click "Change Gamertag" to confirm the change.
Click "Save" to save the settings.