Open Airport Utility in your Utilities folder. Click on your Base Station icon. Click on the Edit button. Click on the Wireless tab in the AU window. Setup is:
The selected item above is the Network Name you can change. Note that this is the Network name, not the name of your Base Station which is configured under the Base Station tab. This is also where you set the option to Allow setup over WAN.
Whenever you make a change like this, after you click on the Update button the router is taken offline to process the change which is why you get the warning that communication will be lost. This is normal. It will return when the router comes back online.