Are you referring to your .myshopify.com URL? If so, that particular URL cannot be changed. This is because each myshopify URL acts as a unique identifier for a merchant's shop in our back end. With that said, you do have a couple of options!
You could create a new store with your preferred URL. However, the more popular option is to purchase a custom domain name, which can be done through Shopify. Custom domains will show as yourstore.com, and the .myshopify.com URL won't be visible. You can learn more about buying a domain for your Shopify store here.
If there is anything else I can help you with, please let me know.
If you just want to change your Shopify store name, you can follow this guide. If you mean the store URL, then it's impossible.
Hope it helps!