First of all, your CN ID/CN# (for example MZ13, AJ10, etc) was created during your account creation process. It can never be edited.
You can edit your name on your profile/ePortfolio page. Hover over your current name on the top part of the page. The little edit link will appear. Click it.
Now, you can edit your first name (1), last name (2), nickname (3) and headline (4). Once done, click the blue SAVE CHANGES button.
Please note that if your institution licenses CN, the Integrated Student Information System or your school admin may override your changes. In this case, you need to contact your school's CN admin to request a name change from their end.