Double-clicking a bone opens its Properties palette, where you can change the bone's visible name. This does not change the names of any groups you may have assigned to polygons. Poser uses the bone's internal name when searching for a matching-named group of polygons. The Properties palette allows you to modify internal names while in the Setup room.

It is best to start from a pre-existing Poser figure's bone system when possible. This way, you will already have bones with standard names in place and can create body part names accordingly.