How to change the instance name of SQL Server Express 2008?
There is no way to change the instance name without re-installing, sorry.....

Update: OK, seems there are a few ways of doing this - not sure how well these work, though. I have not ever heard of anyone doing this successfully, though :-( The easiest way to do this is re-installing with the correct name. Especially with the SQL Server Express versions, it's really no big deal to reinstall - done in a breeze, and you can of course backup and restore your data - so no loss there, either....

Also, it seems that method is limited to SQL Server 2000 only - when searching for the appropriate topics for SQL Server 2008 (sp_dropserver, sp_addserver), it seems those are used for renaming a server (computer) to a new name - not changing the SQL Server instance name, in my opinion. There's no more mention of renaming an installed SQL Server instance with that method.