Usually when this happens it's because another drive was added to the system. What operating system do you use? I'll assume windows (or as I like to call it winblows).
Normally, when another drive is added the system automatically assigns drive letters according to a jumper that is on the device (ie: hard drive has three setting with the physical jumper on the end of it, cable select, master and slave). You don't really need to know the jumpers but if you have added another hard drive to your system or a new one, cable select is the way to go that way the bios (on the mother board, a little firmware program that tells the mother board what to do and how) tells the system what is what. Just easier that way and hence the auto detection of master boot hard drives, slave drives, ect.
Now to change it you need to make sure nothing else is labelled as what you want to change it to. For example if your cd rom is H: and you want to change your hard drive to H: you first need to change the cd rom to something else. Same for any device you have on there including flash sticks, memory sticks, hard drives, flash drives, zip drives, ect.
How to change it:
Right click the drive
rename should be down at the bottom, if not, go to properties
in properties you should see in the general tab "label" under drive or hard drive or whatever the device is
It should be available to you to change it there (it is grayed out if not).
If it's grayed out, you have jumper select problem and must correct that problem first.
Another way to rename is to go to my computer, click once on the drive and it should pop up blank to type a new name into it just like a file or folder can be done in the same manner.
TT
BTW: You should not have issues with losing information just from a device name change...is it possible this is a symptom of a viral infection (I've seen it before) that you may have acquired? I suggest Nero, a dvd burner and a back up of the most important files and reinstalling your operating system at the very least get a good anti-viral program (Avira, Avast - both free) and spyware program (Spybot S&D also free) and run it on your system to make sure you aren't infected and having a viral issue rather than a operating system issue.