I don't believe there is a way to actually rename the device in your finder as the device resides on a different mac/pc. There is an alternative that requires a few steps, what you will end up with is an alias on your desktop of the shared device renamed to what ever you want.
To get an alias you can rename at will:
1. Control-Click on the shared device in the finder and choose "Show Original" from the menu. The device will show up on your desktop.
2. Control-Click on the new icon for the device and choose "Make Alias".
3. Disconnect from the original device by dragging it's icon in to the trash.
4. You now should have an icon that says "original name alias" and has a little arrow in the lower left of the icon indicating it is an alias.
5.Click on this icon, then click on the text under it, it will highlight and you can then change it to whatever you like and have it readily available on your desktop.
Every time you click on it, the original will launch on your desktop. You can even drag the alias to the right had side of the Dock and throw out the original alias on your desktop for less clutter.