In the Lyra source folder, the first thing is to edit LyraGame.Target.cs, LyraClient.Target.cs, LyraEditor.Target.cs, LyraGameEOS.Target.cs and LyraServer.Target.cs. In each file, do a search and replace, and replace LyraGame with what you want to call your game (for example NewDawn). Save all the files .
Then you can rename the LyraGame.Target.cs to what you are calling your game (for example NewDawn.Target.cs).
Regenerate the Visual Studio solution (right click on the project file and select Generate Visual Studio project files.
Once that is done, fire up the editor, package the project, and both executables will now be called what you are calling your game (for example NewDawn.exe).