Open up a notepad file, and put this command into it.

>  java -Xms512m -Xmx1024m -cp "%APPDATA%\.minecraft\bin\*" -Djava.library.path="%APPDATA%\.minecraft\bin\natives" net.minecraft.client.Minecraft` yourusername


Replace YOURUSERNAME with whatever name you wish. Save the notepad file as CUSTOMNAME.bat

You can use that file to now run minecraft with your name changed. (you may have to go into your folder options and enable the viewing of system files to see the customname.bat after you have saved it depending on your current windows settings)