"I really need some help. I changed my site name but I don't know how to change the URL. Could you shed a little light on this subject for me? It would be REALLY helpful. "

Currently, it is not possible to change your URL unless you get a custom URL (http://www.wetpaintcentral.com/page/Custom+URLs) which will cost money.
You can either use the method mentioned above, or you'll have to make a new site.
You can suggest being able to change your URL here, however: http://www.wetpaintcentral.com/page/Make+a+Suggestion

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