There is also an undocumented way of doing this which is all automated. This will change the server and all databases on the instance. Of course this should be tested before running it on your production system, and make sure EVERYTHING is backed up...
1.) Find when your instance is running and use that path to find where sqlservr.exe is located.
2.) Check to ensure you have plenty of disk space.
3.) After the backups are done open a command prompt and navigate to where sqlservr.exe is located. If you are using Server 2003 just open an command prompt. If you are using Server 2008 be sure to open an admin command prompt.
4.) Then run the command below.
5.) Once you hit enter you will see the following
Replace latin1_general_ci_ai with whatever you want to change the instance too.
sqlservr -m -T4022 -T3659 -q"latin1_general_ci_ai"
sqlservr -m -T4022 -T3659 -q"latin1_general_ci_ai" -sINSTANCENAME
This has worked for me several times and is much quicker and easier than other methods.