IF you are using the "Calendar" in association with your MS Account, then......
Go to outlook.com or Hotmail.com and log in to your account.
Top left square with 9 smaller squares inside, click and select Calendar.
Top right click settings, the gear looking thing, and choose options.
That should produce a list of your calendars associated with your account, Holiday, Default, My Cslendar...... etc.
That should allow you to select it from the list and then edit the name, which will then be reflected in the Calendar App on your computer next time things sync up.
Don't forget to click save after you make your edit to the calendar name.
EDIT: I tested it on mine, changed Randy's Calendar to "My Calendar" saved it and the changes finally showed up.
I had to go into the account settings and change my sync settings from "according to usage" to every 15 minutes. It still seemed to take a while so I sent myself an email to that account to nudge it a bit and finally I saw my Calendar name change to My Calendar.
The mail, people and calendar apps are all intertwined and to make some changes to the apps you have to use the web browser interface to the MS email account to do things like this as well as other things, like add a folder to your mail folders, etc.,