For the text display on the screen, you would use Feature 983, log in (if 2 digit extensions, login will be 120000..if 3 digit it will be 1020000, if 4 it will be 10020000, etc).
Then under MBOX, do a change on the box number and hit next until you get to name.
If you are talking about the recorded name that plays, that would be under the individual mailbox's admin. log into the box, press the button for "change admin options", then press "1" to change the recorded name in the company directory