In order to change URL, a page must not be published and have no child pages/folder contained. Before changing URL, you would have to unpublish the page and/or remove every child page(s) it may contain. Then go to 'Edit' » 'Page Properties', you will be able to change URL here.
Alternatively, if the Folder or Page does have children, you can use the Copy feature to create a copy of that Folder/Page (along with its children) with the new URL Name and then delete the originals.
Note: Copy is only available in the Professional Edition.