I am assuming you are synced with your skydrive via your Microsoft live account.
1) Open up your current OneNote's file.
You can see that my current file is called "Change me".
2) Close the file down by rightclick and select "Close the Notebook"
3) Open up your browser and go to "https://skydrive.live.com/".
4) Login with your Microsoft live account details username and password.
5) Once you have logged in to your SkyDrive account, navigate to Skydrive>>Document, you should be able to see your OneNote's file.
6) Now, do as you would like on Windows, rightclick and select rename to rename the file.
In this point you should have seen the file name that has been changed, now just double click open it.
Hurrray, that's it really! If you are sharing the notes with other
people, remember to re-invite your colleague to share your OneNotes