While ext HD mounted, select it's icon, hit the enter key which will highlight the name, type in the new name, and hit the enter key again.
Since you're a newcomer to the Mac, see these:
Switching from Windows to Mac OS X,
Basic Tutorials on using a Mac,
Mac 101: Mac Essentials,
Mac OS X keyboard shortcuts,
Anatomy of a Mac,
Switching to Mac Superguide, and
Switching to the Mac: The Missing Manual, Lion Edition.
Additionally, *Texas Mac Man* recommends: