I have this domain and I want to change it to another name, where do I go in my control panel to change it? Or I have to tell my host to change it for me.
as said before, domain names cannot be changed. However if you are keeping the old domain name then all you need to do is register a new domain, move the site over and send all traffic(if any) to the new domain.
solidstudio is right, all you just need to do is redirect all the traffic from the old domain to the new one..