Log into windows, right click on My Computer and select Manage. Go down to the Logical Disk Manager. Select the windows volume (usually just C: ) and right click on it and select properties. Put a name in the empty box.
There is also a thread somewhere in here that explains how to change the icon for it by putting a couple files at the root of the windows partition. You have to do it from within Windows, OSX won't let you change it since its NTFS.