First off, you must have a Male/Female Certificate. You have to get a certificate matching the pet's gender. These are very expensive, and rare. You can look in Trades or Auctions for these Certificates. They, again, can be very expensive- there for you won't find them in Shop Search. When you have a certificate that matches your pets gender, you go to the City of Marada, then locate the Town Hall and click it. There it will ask you which pet you want to change the name, and you change it!