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.
See also:
Renaming Page Filenames, and editing Page, Product and Category filenames in bulk