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After you have changed the name in Media Go, try removing the song from the phone and then transfer it again.
Media Go and the phone doesn't use the file name for album, artist, song name and so on. It uses the id3-tag in the songs for this. Renaming a file will not change how it's displayed in Walkman.
If transferring the song again doesn't help, what happens if you change the information in the song using another software like http://www.softpointer.com/tr.htm?
