How do you change your name?

[BadHabitz]

I logged into one of the other servers, because Cain's was empty, and when I got killed I noticed that my screen name needs to be changed, but I didn't find anywhere to do it. It's not my Steam name, and I don't remember entering it in anywhere.

Thanks

[BadHabitz]

Nevermind, I just figured it out... I'm 'Nico-Badhabitz' now