Here's a script to do the job
Copy it to notepad, then save it changing the file extension to vbs.
On Error Resume Next
'Declare variables
Dim WSHShell, p, strDrive, strLabel
strDrive = Inputbox("Enter the CD drive letter you wish to change the label for:","Enter Drive Letter","X")
If strDrive = "" Then
WScript.Quit
End If
strLabel = Inputbox("Enter the label for this drive in Explorer","Enter Drive Label","CD Burner")
If strLabel = "" Then
WScript.Quit
End If
'Set the Windows Script Host Shell and assign values to variables
Set WSHShell = WScript.CreateObject("WScript.Shell")
p = "HKLM\SOFTWARE\Microsoft\Windows\CurrentVersion\Explorer\DriveIcons\"& strDrive & "\DefaultLabel\"
WshShell.RegWrite p, strLabel
Set WshShell = Nothing
MsgBox "You must log off/log on, or reboot for the change to take effect.", 4096,"Finished"