This feature has been removed from the operating system. You have to rely on 3rd party software to change or delete network names.
ops, my bad - Go to: HKEY_LOCAL_MACHINE \ SOFTWARE \ Microsoft \ Windows NT \ CurrentVersion \ NetworkList \ Profiles - Change "ProfileName" string value to the desired network name.
Yeah, I found that too but very annoying when your laptop picks up a new network name almost everytime I tether my iPhone. Any 3rd party tools yet?