You can change a Product filename via the SEO tab when editing a Product, or in bulk via the SEO area.
Note: if you add a / at the front of the filename it will make the filename appear as yourdomain.com/filename
If you do not add a / at the beginning, it will appear as yourdomain.com/products/filename
If you had a previous custom filename you will need to delete this from the FILES area in the CMS.
It is a good idea to redirect the old filename to the new one.
Be aware, changing custom filenames without redirection can cause broken links within search engines, and within your website if the product or page was linked somewhere.
See also: