Hi SherFL,
I can understand you frustration, that you are not able to change the Display name.
To fix the problem, First you need to have the current version Windows Live messenger installed on your computer.
If in case you do not have Windows Live Messenger installed, Please install by visiting our support website at http://www.explore.live.com
If you have current Version of Windows Live messenger installed. change the display name on Windows Live messenger first and then sign in to MSN Premium software and then try to change the display name on MSN.
Hope this helps,
Thanks,
Nitesh