Firstly, this is not an easy or non-risky process, only do this if you really, really hate your current nickname and know your way round a Hex-editor... :)
So, lets get into it!
Firstly, the profiles are stored in your My Documents folder in a folder called Test Drive Unlimited. The files in here are encrypted and cant be edited directly (at least I couldnt figure it out). There is also a file called ProfileList.dat which contains the profile names but doesnt seem to be used.
So how to change the name?
* Note that this method requires your new name to have exactly the same number of characters as your current name, so you could change your name from 'Jeff' to 'J3ff' but not 'Jeffrey' *
Start TDU
Create a new online profile using the name you want to use.
Logout and swap to your current profile.
Delete the profile you just created.
Go to your house view
Alt-tab back to windows
Load up a RAM editing program like WinHex, open the TDU process and do a search for your profile name. Change each one you find to your new name.
Alt-tab back to the game.
Click on the garage tab then back to the Home tab. This will force the profile to save.
Exit the game.
Reload and your new profile name should be in the profile list instead of your old name!
Yes its a mission and dodgy (do I even need to say backup your savegames folder first?) but does work!