Open up your favorite plain text editor (notepad, for example) and copy the following text into a new file:
Windows Registry Editor Version 5.00
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.