Actually, you can’t change a user nickname, but those users who have registered within last two weeks still have this opportunity. All you need is to confirm your email address.
If you still haven’t confirmed your email address, “Change nickname” button in your profile is dimmed, which means that the option is not accessible.

If you have confirmed your email account, you should see this picture.

To change a nickname you have to click on “Change nickname” and then click on “Send code” in a new window.

You will receive a code in your email inbox. You need it in case if somebody gets an access to your personal office (by means of a stolen cookie, for example), he would not be able to change the nickname. As soon as you get the code, enter it in the next form (you can also open it from your office).

After successfully entering the code, you have to log on to the site again using your new nickname. The old one is deleted from the database and can be registered again by other users.