First off, got to your SD card.
Go to "mkwii"
Open up "MenuSingle_U (or if your European, E)
Expand the "message" file
Now, find the course you want to change the name of, click it, and in the set text box, type in the desired name!
Next, scroll down and find your course again, and fill in the name you used for the above.
Now save and your good to go!
*will add pics later*