Instructions
Scroll to the "My Xbox" blade using the D-Pad's up or down keys.
Press on "Gamertag" using the "A" button.
Highlight "Change Gamertag."
Select "Add Microsoft Points" if you require more points to cover the cost of changing your gamertag name. Confirm the number of points you require and confirm the purchase.
Press "Enter New Gamertag" and type in the name you desire; "Blue" may already be taken so try adding numbers to the end of the word to make it acceptable to Xbox Live.
Confirm your gamertag change by "Yes, use this gamertag." Your gamertag has now been changed.