This is a slight ammendment as the original didnt work for me.
Open up your favorite plain text editor (notepad, for example) and copy the
following text into a new file:
Now save this text file as a .reg file, such as "Rename Recycle Bin.reg" and
put it wherever you like. Double click on the file, and when it asks you if
you want to import it into the registry, choose Yes. You'll notice a new
option in the right-click menu to Rename the Recycle Bin. You can also
rename it by highlighing the Bin and hitting F2, or by highlighting it and
clicking on the file name (just like renaming any other file.
If you want to turn off this new feature, make another .reg file with the
same content as above, but change the first number in the "Attributes"=hex:
line from 50 to 40 and import that file into the registry.
Tweak written by or based on information submitted by Steve B
Thanks Chris L