@Siphonay
I've tried and failed in the past. I believe it's not even changeable if you do change the user's name!
But that suggests a solution. Suppose your user name is Fred and your home directory is c:\User\Fred, but you want to make it c:\User\Wilma. Create a new user called Wilma, copy your files over, delete the Fred account, and change the user name to Fred. Directory will remain \Wilma and you've got what you wanted... in theory.