It depends on whether you are on an Exchange server or not.
If you're not, then depending on your OL version, go to
(in OL2000)
Tools > Accounts, select your mailaccount, where your name is misspelled.
Click Properties, select General and just change the spelling.
(in OL2003 - i assume that OL2002/xp is similar)
Tools > E-mail accounts > View/Change existing e-mail account
Then select account for which your name is misspelled. Select Properties and
make the necessary changes.
In case you're on an Exchange server, then you cannot make any changes in
the spelling. You'd have to ask your Exhange admin to do that for you.
Sandor Teglasy jun.