There is a feature in XP called Files and settings transfer wizard that would allow you to backup to CD and then import it again when you've created an account with your proposed name but I've never used it and don't know how it works, so this is how I'd do it...
Create a new folder anywhere you like and move the files you want to keep there.
Create a temporary new user account with admin rights and login to it.
Delete the user account you are using at the moment and elect to delete all files and settings when prompted.
Delete the account folder inside C:\Documents and Settings\ - if you can't do this, reboot and try again, use Safe Mode if necessary.
Search for and delete any references to the account name in the Windows folder and the registry.
Reboot the machine and login to your new account again.
Create a new user account with the name you want to use.
Logout of the temporary account and login to the new permanent one.
Move back the stuff you saved at the beginning.
Delete the temporary user account, again electing to delete all files and settings.
Reboot.
Just make sure you copy everything you want to keep at the beginning.
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